Waheed, Muhammad and Alam, Tasneem and Ghauri, Saghir Pervaiz (2006): Structural breaks and unit root: evidence from Pakistani macroeconomic time series.
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The purpose of this paper is to examine the unit root properties of eleven Pakistani macroeconomic series using annual data. Along with traditional unit root tests, we use the procedure developed by Zivot and Andrews to test the null of unit root against the break-stationary alternative. Conventional unit root tests indicate that all variable are non-stationary at the levels. Results from Zivot and Andrews test suggest that we can reject the null of unit root for CPI and WPI at 5 percent significance level while we fail to reject the unit root hypothesis for the remaining 9 series. At the same time, the Zivot and Andrews test identifies endogenously the point of the single most significant structural break in every time series examined. The results show that ten of the eleven series studied bear witness to the presence of a structural break during the period 1972 to 1976.
|Item Type:||MPRA Paper|
|Institution:||State Bank of Pakistan|
|Original Title:||Structural breaks and unit root: evidence from Pakistani macroeconomic time series|
|Keywords:||Structural break; unit root; pakistan|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes|
|Depositing User:||Tasneem Alam|
|Date Deposited:||15. Feb 2007|
|Last Modified:||11. Feb 2013 18:29|
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