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 |