Unit Root Test With One Endogenous Structural Break Evidence from Indonesian Time Series Data
This paper examines the robustness of the ADF (Augmented Dickey-Fuller) unit root test to the presence of one structural break. The ADF test results show one variables out of six to be stationary. To check their robustness, two separate additive outlier (AO) models are employed: one allowing for one...
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| Format: | Article |
| Language: | English |
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Universitas Islam Indonesia
2009-06-01
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| Series: | Economic Journal of Emerging Markets |
| Online Access: | http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/522 |
| _version_ | 1798001071832956928 |
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| author | Akhsyim Afandi |
| author_facet | Akhsyim Afandi |
| author_sort | Akhsyim Afandi |
| collection | DOAJ |
| description | This paper examines the robustness of the ADF (Augmented Dickey-Fuller) unit root test to the presence of one structural break. The ADF test results show one variables out of six to be stationary. To check their robustness, two separate additive outlier (AO) models are employed: one allowing for one endogenously-determined break in the intercept and the other in the trend. These two tests can not reject the unit root null hypothesis for all the vari-ables. However, when an innovational outlier (IO) model, that allows for one endogenously-determined break is estimated, the null hypothesis can be rejected for 3 more series. The estimated break dates mostly correspond to the 1998 financial crisis in Indonesia.
Keywords: unit root; stationarity; structural break, additive & innovational outlier
JEL classification: C1; C22 |
| first_indexed | 2024-04-11T11:30:19Z |
| format | Article |
| id | doaj.art-77c6896f26354939a712e61e0bc37fc0 |
| institution | Directory Open Access Journal |
| issn | 2086-3128 2502-180X |
| language | English |
| last_indexed | 2024-04-11T11:30:19Z |
| publishDate | 2009-06-01 |
| publisher | Universitas Islam Indonesia |
| record_format | Article |
| series | Economic Journal of Emerging Markets |
| spelling | doaj.art-77c6896f26354939a712e61e0bc37fc02022-12-22T04:26:10ZengUniversitas Islam IndonesiaEconomic Journal of Emerging Markets2086-31282502-180X2009-06-01113Unit Root Test With One Endogenous Structural Break Evidence from Indonesian Time Series DataAkhsyim AfandiThis paper examines the robustness of the ADF (Augmented Dickey-Fuller) unit root test to the presence of one structural break. The ADF test results show one variables out of six to be stationary. To check their robustness, two separate additive outlier (AO) models are employed: one allowing for one endogenously-determined break in the intercept and the other in the trend. These two tests can not reject the unit root null hypothesis for all the vari-ables. However, when an innovational outlier (IO) model, that allows for one endogenously-determined break is estimated, the null hypothesis can be rejected for 3 more series. The estimated break dates mostly correspond to the 1998 financial crisis in Indonesia. Keywords: unit root; stationarity; structural break, additive & innovational outlier JEL classification: C1; C22http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/522 |
| spellingShingle | Akhsyim Afandi Unit Root Test With One Endogenous Structural Break Evidence from Indonesian Time Series Data Economic Journal of Emerging Markets |
| title | Unit Root Test With One Endogenous Structural Break Evidence from Indonesian Time Series Data |
| title_full | Unit Root Test With One Endogenous Structural Break Evidence from Indonesian Time Series Data |
| title_fullStr | Unit Root Test With One Endogenous Structural Break Evidence from Indonesian Time Series Data |
| title_full_unstemmed | Unit Root Test With One Endogenous Structural Break Evidence from Indonesian Time Series Data |
| title_short | Unit Root Test With One Endogenous Structural Break Evidence from Indonesian Time Series Data |
| title_sort | unit root test with one endogenous structural break evidence from indonesian time series data |
| url | http://uiistage.openjournaltheme.com/3310/index.php/JEP/article/view/522 |
| work_keys_str_mv | AT akhsyimafandi unitroottestwithoneendogenousstructuralbreakevidencefromindonesiantimeseriesdata |