Multiple structural breaks in Australia's macroeconomic data: an application of the Lumsdaine and Papell Test

Layton, Allan P. and Valadkhani, Abbas and Pahlavani, Mosayeb (2005) Multiple structural breaks in Australia's macroeconomic data: an application of the Lumsdaine and Papell Test. International Journal of Applied Econometrics and Quantitative Studies, 2 (3). pp. 19-32. ISSN 1698-4153

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Abstract

This paper employs all available annual time series data to endogenously determine the timing of structural breaks for 10 macroeconomic variables in the Australian economy. The ADF (Augmented Dickey and Fuller) test and the LP (Lumsdaine and Papell, 1997) test are used to examine the time series properties of the data. The ADF test results provide no evidence against the unit root null hypothesis in all ten macroeconomic variables. After accounting for the,two most significant structural breaks in the data impacting on both the intercept and trend, the results from the LP test indicate that the null of at least one unit root is rejected for four of the variables under investigation at the 10 per cent level or better. We also found that the dates of structural breaks in most cases point to: (a) the oil/wages shock occurring in the 1973-1975 period, (b) the 1990-1991 recession; (c) the culmination of financial deregulation and innovation in the late 1980s; and (4) the 1997 Asian crisis.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Author's version unavailable in electronic format. Published version may be downloaded from this link: http://ideas.repec.org/a/eaa/ijaeqs/v2y2005i3_2.html
Depositing User: Mrs Annette Bourne
Faculty / Department / School: Historic - Faculty of Business - No Department
Date Deposited: 11 Oct 2007 01:19
Last Modified: 02 Jul 2013 22:49
Uncontrolled Keywords: unit roots hypothesis; structural breaks; Australian economy
Fields of Research (FOR2008): 14 Economics > 1402 Applied Economics > 140202 Economic Development and Growth
14 Economics > 1402 Applied Economics > 140212 Macroeconomics (incl. Monetary and Fiscal Theory)
14 Economics > 1403 Econometrics > 140305 Time-Series Analysis
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970114 Expanding Knowledge in Economics
URI: http://eprints.usq.edu.au/id/eprint/3039

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