Unit Roots, Structural Breaks and Trends

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

Unit Root Tests and Structural Breaks: A Survey with Applications

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 emphasiz...

How to Deal with Structural Breaks in Practical Cointegration Analysis

In this note we consider the treatment of structural breaks in VAR models used to test for unit roots and cointegration. We give practical guidelines for the inclusion and the specification of intervention dummies in those models. JEL Classification Code: C32, C52, E43.

Structural Breaks, In‡ation and Interest Rates: Evidence for the G7 countries

Empirical research has often found that nominal interest and in‡ation rates to be non-stationary. Thus, the analysis of the Fisher effect has been commonly based on cointegration/unit roots techniques. However, we should consider that a potentially serious ‡aw in previous studies is the failure to allow for structural breaks in these variables. Thus, the use of unit roots tests that take into a...

Long Memory and Structural Breaks in the Spanish Stock Market Index

It is well known that the Spanish stock market index (IBEX 35) exhibits unit roots. However, the implications of possible structural breaks in this series have not been deeply investigated. In this paper, we show that, when including a break at the beginning of 1998, the order of integration of the series becomes slightly smaller, strengthening the evidence of mean-reverting behaviour. When the...