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Structural Breaks and Unit Roots in Australian Macroeconomic Time Series

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journal contribution
posted on 23.10.2017, 06:51 by Narayan, Paresh Kumar, Smyth, Russell
We examine the unit root properties of 16 Australian macroeconomic time series using monthly data spanning the period 1960 to 2004. In addition to the standard Augmented Dickey Fuller (ADF) test, we implement one break and two break endogenous structural break ADF-type unit root tests as well as one break and two break Lagrange multiplier (LM) unit root tests. While the ADF test provides relatively little evidence against the unit root null hypothesis, once we allow for structural breaks we are able to reject the unit root null for just under one half of the variables at the 10 per cent level or better.


Year of first publication



Department of Economics