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Sequential Procedure for Testing Unit Roots in the Presence of Structural Break in Time Series Data

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Abstract

Testing for unit roots has special significance in terms of both economic theory and the interpretation of estimation results. As there are several methods available, researchers face method selection problem while conducting the unit root test on time series data in the presence of structural break. This paper proposes a sequential search procedure to determine the best test method for each time series. Different test methods or models may be appropriate for different time series. Therefore, instead of sticking to one particular test method for all the time series under consideration, selection of a set of mixed methods is recommended for obtaining better results.

Suggested Citation

  • Shrestha, Min B. & Chowdhury, Khorshed, 2005. "Sequential Procedure for Testing Unit Roots in the Presence of Structural Break in Time Series Data," Economics Working Papers wp05-06, School of Economics, University of Wollongong, NSW, Australia.
  • Handle: RePEc:uow:depec1:wp05-06
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    Cited by:

    1. Abdulkadir Rafindadi & Zarinah Yusof, 2015. "Do the dynamics of financial development spur economic growth in Nigeria’s contemporal growth struggle? A fact beyond the figures," Quality & Quantity: International Journal of Methodology, Springer, vol. 49(1), pages 365-384, January.
    2. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2013. "Unemployment Rate Hysteresis and the Great Recession: Exploring the Metropolitan Evidence," Working papers 2013-19, University of Connecticut, Department of Economics.
    3. Mete Feridun, 2012. "Liability dollarization, exchange market pressure and fear of floating: empirical evidence for Turkey," Applied Economics, Taylor & Francis Journals, vol. 44(8), pages 1041-1056, March.
    4. George S. Naufal & Ismail H. Genc, "undated". "Structural Change in MENA Remittance Flows," Economics Working Papers 07-05/2013, School of Business Administration, American University of Sharjah.
    5. Choon-Seng Lim & Vincent & Min B. Shrestha, 2009. "Capital Flows and Implication for Central Bank Policies in The SEACEN Countries," Research Studies, South East Asian Central Banks (SEACEN) Research and Training Centre, number rp76, April.
    6. Prasert Chaitip & Chukiat Chaiboonsri, 2009. "Thailand’s International Tourism Demand: The ARDL Approach to Cointegration," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 9(3), pages 163-184.
    7. Shankar Prasad Acharya, 2009. "Verification of Causality through VAR and Intervention Analysis: Econometric Modeling on Budget Deficit and Trade Deficit in Nepal," NRB Economic Review, Nepal Rastra Bank, Research Department, vol. 21, pages 1-1, April.
    8. Khorshed Chowdhury, 2011. "Dynamics, Structural Breaks and the Determinants of the Real Exchange Rate of Australia," Economics Working Papers wp11-11, School of Economics, University of Wollongong, NSW, Australia.

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    Keywords

    Time Series; Stationarity; Unit Root Test; Structural Break; Sequential Procedure;

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