Unit roots and structural breaks in PNG macroeconomic time series

Narayan, S and Smyth, R 2008, 'Unit roots and structural breaks in PNG macroeconomic time series', International Journal of Social Economics, vol. 35, no. 12, pp. 963-984.


Document type: Journal Article
Collection: Journal Articles

Title Unit roots and structural breaks in PNG macroeconomic time series
Author(s) Narayan, S
Smyth, R
Year 2008
Journal name International Journal of Social Economics
Volume number 35
Issue number 12
Start page 963
End page 984
Total pages 22
Publisher Emerald Group Publishing Ltd
Abstract Purpose - The purpose of this paper is to examine the time series properties of 26 macroeconomic variables in Papua New Guinea (PNG) over the period 1970-2006. Design/methodology/approach - Both unit root and stationarity tests without a structural break and the Lagrange Multiplier (LM) unit root test with one and two structural breaks developed by Lee and Strazicich are applied to each of the 26 macroeconomic variables in PNG. Compared to popular ADF-type endogenous unit root tests such as those proposed by Zivot and Andrews and Lumsdaine and Papell, the LM unit root test with one and two structural breaks has the advantage that it is unaffected by breaks under the null. Findings - The unit root and stationarity tests without structural breaks find at best mixed evidence of mean reversion and/or trend reversion for most variables. This result is likely to reflect the failure of these tests to allow for structural breaks, given the power to find stationarity declines if the data contain a structural break that is ignored. When the LM unit root test with one and two structural breaks is applied, it is found that at least 23 of the 26 macroeconomic variables are trend stationary. Originality/value - The time series properties of macroeconomic variables have important implications for several macroeconomic theories. There are, however, few studies of the time series properties of macroeconomic variables in developing countries and no comprehensive studies for any of the Pacific Island countries. This paper begins to fill this gap as the first to provide a systematic examination of the time series properties of macroeconomic variables in Paua New Guinea.
Subject Macroeconomics (incl. Monetary and Fiscal Theory)
Keyword(s) macroeconomics
Papua New Guinea
time series analysis
DOI - identifier 10.1108/03068290810911499
ISSN 0306-8293
Versions
Version Filter Type
Citation counts: Scopus Citation Count Cited 1 times in Scopus Article | Citations
Altmetric details:
Access Statistics: 245 Abstract Views  -  Detailed Statistics
Created: Wed, 22 Dec 2010, 10:15:00 EST by Catalyst Administrator
© 2014 RMIT Research Repository • Powered by Fez SoftwareContact us