A Unit Root Test with Structural Change for Japanese Macroeconomic Variables

Yutaka Soejima
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Yutaka Soejima: Research Division 1, Institute for Monetary and Economic Studies, Bank of Japan

Monetary and Economic Studies, 1995, vol. 13, issue 1, 53-68

Abstract: The problem of a time trend in the unit root test is first discussed and then a unit root test for Japanese macroeconomic variables under the assumption that a structural change has occurred in the time trend is conducted. Many Japanese macroeconomic variables exhibit a structural change in the data generating process around 1970. Once such a structural change in the time trend is taken into account, many real economic variables (such as real GNP) are found to follow a trend stationary process.

Keywords: Unit Root; Deterministic Trend; Structural Break; Null Hypothesis. (search for similar items in EconPapers)
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:ime:imemes:v:13:y:1995:i:1:p:53-68

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