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...

Full description

Saved in:
Bibliographic Details
Main Author: Wang, Eric Aik Peng
Other Authors: Nanyang Business School
Format: Final Year Project
Language:English
Published: 2014
Subjects:
Online Access:http://hdl.handle.net/10356/59733
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English
id sg-ntu-dr.10356-59733
record_format dspace
spelling sg-ntu-dr.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
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business
spellingShingle DRNTU::Business
Wang, Eric Aik Peng
Endogenous structural breaks and unit root tests : an application to Singapore
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.
author2 Nanyang Business School
author_facet Nanyang Business School
Wang, Eric Aik Peng
format Final Year Project
author Wang, Eric Aik Peng
author_sort Wang, Eric Aik Peng
title 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_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_sort endogenous structural breaks and unit root tests : an application to singapore
publishDate 2014
url http://hdl.handle.net/10356/59733
_version_ 1770567035645853696