Multiple Structural Breaks in Australia's Macroeconomic Data: An Application of the Lumsdaine and Papell Test

Abbas Valadkhani, Allan P. Layton and Mosayeb Pahlavani
Additional contact information
Allan P. Layton: Queensland University of Technology, http://business.uow.edu.au/econ/who/index.html
Mosayeb Pahlavani: University of Wollongong

Economics Working Papers from School of Economics, University of Wollongong, NSW, Australia

Abstract: This paper employs all available annual time series data to endogenously determine the timing of structural breaks for 10 macroeconomic variables in the Australian economy. The ADF (Augmented Dickey and Fuller) test and the LP (Lumsdaine and Papell, 1997) test are used to examine the time series properties of the data. The ADF test results provide no evidence against the unit root null hypothesis in all ten macroeconomic variables. After accounting for the two most significant structural breaks in the data impacting on both the intercept and trend, the results from the LP test indicate that the null of at least one unit root is rejected for four of the variables under investigation at the 10 per cent level or better. We also found that t he dates of structural breaks in most cases point to: (a) the oil/wages shock occurring in the 1973-1975 period, (b) the 1990-1991 recession; (c) the culmination of financial deregulation and innovation in the late 1980s; and (d) the 1997 Asian crisis.

Keywords: Unit roots Hypothesis; structural breaks; Australian economy (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2005
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (6)

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Journal Article: MULTIPLE STRUCTURAL BREAKS IN AUSTRALIA’S MACROECONOMIC DATA: AN APPLICATION OF THE LUMSDAINE AND PAPELL TEST (2005)
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