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Unit root tests with smooth breaks: an application to the Nelson-Plosser data set

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  • Razvan Pascalau

Abstract

This article reconsiders the nature of the trends (i.e. deterministic or stochastic) of the Nelson-Plosser macroeconomic time series. For this purpose, the article employs two new tests that display robustness to structural breaks of unknown forms, irrespective of the date and/or location of the breaks. These tests approximate structural changes as smooth processes via flexible Fourier transforms. In general, it appears that real variables are stationary while nominal ones have a unit root.

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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 17 (2010)
Issue (Month): 6 ()
Pages: 565-570

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Handle: RePEc:taf:apeclt:v:17:y:2010:i:6:p:565-570
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Find related papers by JEL classification:
  • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
  • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General

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