Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9553148 | Japan and the World Economy | 2005 | 21 Pages |
Abstract
This paper aims to detect temporal and continuous structural changes in the major Japanese macroeconomic time series by means of Yamamoto's (1996) augmented step-wise Chow test, and to clarify the stationarity and/or non-stationarity of these series by conducting unit root tests. It also aims to verify empirically that a model assuming no structural change is not likely to reject a null hypothesis even when a true model contains a structural change. Structural changes are assumed to contain not only changes in the parameters of the drift term and the time trend, but also changes in other parameters. The results favor the existence of real business cycles.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Naotsugu Hayashi,