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| Author: | Rybinski, K. |
| Title: | Testing integration of macroeconomic time series in transitional socialist economies. A modification of Perron test |
| Journal: | Economics of Planning
1997 : VOL. 30:2/3, p. 127-179 |
| Index terms: | MACROECONOMICS TIME SERIES TESTS |
| Language: | eng |
| Abstract: | The presence of stuctural breaks reduces the power of integration tests. A number of methods were suggested to improve the statistical properties of integration tests in the presence of structural breaks. The most known are Perron tests, which allow to test for the level of integration of time series with one structural break. Perron tests allow for two types of structural breaks: additive outlier and innovative outlier. Practitioners receive a reliable tool for analyzing macroeconomic processes in transitional economies. |
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