Structural breaks and stochastic trends in macroeconomic variables in Norway
This paper analyses the dynamic properties of several macroeconomic variables in Norway, using different unit root tests and measures of persistence. For none of the variables can we reject the hypothesis of a unit root in favour of a deterministic linear trend alternative. However, when allowing for a structural break in the trend alternative, we can reject the hypothesis of a unit root for unemployment, government consumption, investment and real wage. Most of the Norwegian time series display little persistence. However, for those series that show a high degree of persistence, adjusting for the break in the trend, persistence falls considerably.
Volume (Year): 6 (1999)
Issue (Month): 3 ()
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