 Unit roots and structural breaks: The case of India 1900-1988Anita Ghatak Journal of Applied Statistics, 1997, vol. 24, issue 3, 289-300 Abstract: This paper tests the hypothesis of difference stationarity of macro-economic time series against the alternative of trend stationarity, with and without allowing for possible structural breaks. The methodologies used are that of Dickey and Fuller familiarized by Nelson and Plosser, and that of dummy variables familiarized by Perron, including the Zivot and Andrews extension of Perron's tests. We have chosen 12 macro-economic variables in the Indian economy during the period 1900-1988 for this study. A study of this nature has not previously been undertaken for the Indian economy. The conventional Dickey-Fuller methodology without allowing for structural breaks cannot reject the unit root hypothesis (URH) for any series. Allowing for exogenous breaks in level and rate of growth in the years 1914, 1939 and 1951, Perron's tests reject the URH for three series after 1951, i.e. the year of introduction of economic planning in India. The Zivot and Andrews tests for endogenous breaks confirm the Perron tests and lead to the rejection of the URH for three more series. Date: 1997 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:24:y:1997:i:3:p:289-300 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Applied Statistics is currently edited by Robert Aykroyd More articles in Journal of Applied Statistics from Taylor & Francis Journals |
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