IDEAS home Printed from https://ideas.repec.org/a/pab/rmcpee/v3y2007i1p63-79.html
   My bibliography  Save this article

Unit Root Tests and Structural Breaks: A Survey with Applications = Contrastes de raíces unitarias y cambios estructurales: un estudio con aplicaciones

Author

Listed:
  • Glynn, John

    (Graduate School of Business. University of Wollongong)

  • Perera, Nelson

    (Graduate School of Business. University of Wollongong Author-Name: Verma, Reetu
    School of Economics. University of Wollongong)

Abstract

The theme of unit roots in macroeconomic time series have received a great amount of attention in terms of theoretical and applied research over the last three decades. Since the seminal work by Nelson and Plosser (1982), testing for the presence of a unit root in the time series data has become a topic of great concern. This issue gained further momentum with Perron’s 1989 paper which emphasized the importance of structural breaks when testing for unit root processes. This paper reviews the available literature on unit root tests taking into account possible structural breaks. An important distinction between testing for breaks when the break date is known or exogenous and when the break date is endogenously determined is explained. We also describe tests for both single and multiple breaks. Additionally, the paper provides a survey of the empirical studies and an application in order for readers to be able to grasp the underlying problems that time series with structural breaks are currently facing = El tema de las raíces unitarias en series temporales macroeconómicas ha recibido gran atención, tanto desde el punto de vista teórico como de investigación aplicada, en las últimas tres décadas. Desde el trabajo clave de Nelson y Plosser (1982), contrastar la presencia de una raíz en datos temporales ha llegado a ser un asunto de gran interés. Esta cuestión ganó incluso preponderancia con el artículo de Perron de 1989, que destaca la importancia de los cambios estructurales al contrastar procesos de raíces unitarias. Este trabajo revisa la literatura disponible sobre contrastes de raíces unitarias, teniendo en cuenta los posibles cambios estructurales. Se explica la diferencia entre contrastar cambios cuando la fecha del cambio es conocida (o exógena) y cuando el cambio es determinado endógenamente. También describimos contrastes tanto para cambios simples como para cambios múltiples. Además, el artículo revisa los estudios empíricos y da una aplicación para que los lectores puedan comprender los problemas subyacentes que se están afrontando en el estudio de las series temporales con cambios estructurales.

Suggested Citation

  • Glynn, John & Perera, Nelson, 2007. "Unit Root Tests and Structural Breaks: A Survey with Applications = Contrastes de raíces unitarias y cambios estructurales: un estudio con aplicaciones," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 3(1), pages 63-79, June.
  • Handle: RePEc:pab:rmcpee:v:3:y:2007:i:1:p:63-79
    as

    Download full text from publisher

    File URL: http://www.upo.es/RevMetCuant/art11.pdf
    Download Restriction: no

    File URL: http://www.upo.es/RevMetCuant/art11.txt
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. George S. Naufal & Ismail H. Genc, 2015. "Structural Change in MENA Remittance Flows," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(6), pages 1175-1178, November.
    2. P. Srinivasan & M. Kalaivani, 2015. "Determinants of Foreign Institutional Investment in India: An Empirical Analysis," Global Business Review, International Management Institute, vol. 16(3), pages 364-376, June.
    3. Gbadebo A. Oladosu & Keith L. Kline & Johannes W. A. Langeveld, 2021. "Structural Break and Causal Analyses of U.S. Corn Use for Ethanol and Other Corn Market Variables," Agriculture, MDPI, vol. 11(3), pages 1-15, March.
    4. Brittle, Shane, 2009. "Ricardian Equivalence and the Efficacy of Fiscal Policy in Australia," Economics Working Papers wp09-10, School of Economics, University of Wollongong, NSW, Australia.
    5. Huett, Hannes & Krapf, Matthias & Uysal, S. Derya, 2014. "Price dynamics in the Belarusian black market for foreign exchange," Journal of International Economics, Elsevier, vol. 94(1), pages 169-176.
    6. PERERA, Nelson & VARMA, Reetu, 2008. "An Empirical Analysis Of Sustainability Of Trade Deficit: Evidence From Sri Lanka," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 5(1), pages 79-92.

    More about this item

    Keywords

    unit root; structural breaks; multiple breaks; raíces unitarias; cambios estructurales; cambios múltiples;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pab:rmcpee:v:3:y:2007:i:1:p:63-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Publicación Digital - UPO (email available below). General contact details of provider: https://edirc.repec.org/data/dmupoes.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.