Endogenous structural breaks and unit root tests : an application to Singapore
The seminal work on unit roots and macroeconomic variables was that of Nelson and Plosser (1982). They find that most macroeconomic variables follow a random walk process. The implications of their empirical findings are that existing theoretical relationships between macroeconomic variables are spu...
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| Format: | Final Year Project (FYP) |
| Language: | English |
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2014
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| Online Access: | http://hdl.handle.net/10356/59733 |
| _version_ | 1826130124513214464 |
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| author | Wang, Eric Aik Peng |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Wang, Eric Aik Peng |
| author_sort | Wang, Eric Aik Peng |
| collection | NTU |
| description | The seminal work on unit roots and macroeconomic variables was that of Nelson and Plosser (1982). They find that most macroeconomic variables follow a random walk process. The implications of their empirical findings are that existing theoretical relationships between macroeconomic variables are spurious and current macroeconomic models are misspecified. Perron (1994) tested for unit roots after allowing for structural breaks and found evidence disputing their claims. Perron empirically showed that the inclusion of structural breaks in the unit root tests will cause the macroeconomic variables to follow a deterministic trend, instead of following a random walk process. |
| first_indexed | 2024-10-01T07:51:24Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/59733 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T07:51:24Z |
| publishDate | 2014 |
| record_format | dspace |
| spelling | ntu-10356/597332023-05-19T06:16:15Z Endogenous structural breaks and unit root tests : an application to Singapore Wang, Eric Aik Peng Nanyang Business School Ashish Lall DRNTU::Business The seminal work on unit roots and macroeconomic variables was that of Nelson and Plosser (1982). They find that most macroeconomic variables follow a random walk process. The implications of their empirical findings are that existing theoretical relationships between macroeconomic variables are spurious and current macroeconomic models are misspecified. Perron (1994) tested for unit roots after allowing for structural breaks and found evidence disputing their claims. Perron empirically showed that the inclusion of structural breaks in the unit root tests will cause the macroeconomic variables to follow a deterministic trend, instead of following a random walk process. BUSINESS 2014-05-14T01:00:59Z 2014-05-14T01:00:59Z 1995 1995 Final Year Project (FYP) http://hdl.handle.net/10356/59733 en Nanyang Technological University 50 p. application/pdf |
| spellingShingle | DRNTU::Business Wang, Eric Aik Peng Endogenous structural breaks and unit root tests : an application to Singapore |
| title | Endogenous structural breaks and unit root tests : an application to Singapore |
| title_full | Endogenous structural breaks and unit root tests : an application to Singapore |
| title_fullStr | Endogenous structural breaks and unit root tests : an application to Singapore |
| title_full_unstemmed | Endogenous structural breaks and unit root tests : an application to Singapore |
| title_short | Endogenous structural breaks and unit root tests : an application to Singapore |
| title_sort | endogenous structural breaks and unit root tests an application to singapore |
| topic | DRNTU::Business |
| url | http://hdl.handle.net/10356/59733 |
| work_keys_str_mv | AT wangericaikpeng endogenousstructuralbreaksandunitroottestsanapplicationtosingapore |