Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]

The purpose of this study is to carry out a comprehensive examination of the univariate statistical properties in ASEAN macroeconomic time series from 1960 to 2010 using a battery of endogenous break ADF-type unit root tests. Our empirical findings show that number of rejections of a unit root null...

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Main Author:	Tan Yan Ling
Format:	Research Reports
Language:	English
Published:	Research Management Institute (RMI) 2013
Online Access:	http://ir.uitm.edu.my/id/eprint/17501/ http://ir.uitm.edu.my/id/eprint/17501/2/LP_TAN%20YAN%20LING%20RMI%2013_5.pdf

id	uitm-17501
recordtype	eprints
spelling	uitm-175012019-09-11T03:09:09Z http://ir.uitm.edu.my/id/eprint/17501/ Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.] Tan Yan Ling The purpose of this study is to carry out a comprehensive examination of the univariate statistical properties in ASEAN macroeconomic time series from 1960 to 2010 using a battery of endogenous break ADF-type unit root tests. Our empirical findings show that number of rejections of a unit root null is relatively higher when considering structural breaks than without breaks in the models. Most index and rate variables can be treated as trend-stationary processes in Indonesia and Malaysia particularly. However, macroeconomic time series under US Dollar and Local currency terms have an opposite findings. As in ZA models, the US Dollar terms denomination series are more favorable of trendstationary processes. Alternatively, the series under Local Currency terms tend to reject the null hypothesis of a unit root for all ASEAN countries except Thailand in LP models. Hence, the shocks to macroeconomic time series are temporary, these series will return to their long run trend rate of growth. Moreover, the break points are closely associated with global economic events such as the first oil shock of 1973-1975, the second oil shock in 1979-1980, the commodity crisis in 1985-1986 and the Asian financial crisis of 1997-1998. To this extent, if the shocks to series are transitory, then the macroeconomic stabilization policies may not be over-implemented in ASEAN countries particularly for index and rate variables in Indonesia and Malaysia. The policy authorities may use the historical information to forecast future movements in macroeconomic time series. Lastly, our findings also shed light on the importance of considering exchange rate fluctuations in the process of trendstationary and random walk processes. Research Management Institute (RMI) 2013 Research Reports NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/17501/2/LP_TAN%20YAN%20LING%20RMI%2013_5.pdf Tan Yan Ling (2013) Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]. [Research Reports] (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Teknologi MARA
building	UiTM Institutional Repository
collection	Online Access
language	English
description	The purpose of this study is to carry out a comprehensive examination of the univariate statistical properties in ASEAN macroeconomic time series from 1960 to 2010 using a battery of endogenous break ADF-type unit root tests. Our empirical findings show that number of rejections of a unit root null is relatively higher when considering structural breaks than without breaks in the models. Most index and rate variables can be treated as trend-stationary processes in Indonesia and Malaysia particularly. However, macroeconomic time series under US Dollar and Local currency terms have an opposite findings. As in ZA models, the US Dollar terms denomination series are more favorable of trendstationary processes. Alternatively, the series under Local Currency terms tend to reject the null hypothesis of a unit root for all ASEAN countries except Thailand in LP models. Hence, the shocks to macroeconomic time series are temporary, these series will return to their long run trend rate of growth. Moreover, the break points are closely associated with global economic events such as the first oil shock of 1973-1975, the second oil shock in 1979-1980, the commodity crisis in 1985-1986 and the Asian financial crisis of 1997-1998. To this extent, if the shocks to series are transitory, then the macroeconomic stabilization policies may not be over-implemented in ASEAN countries particularly for index and rate variables in Indonesia and Malaysia. The policy authorities may use the historical information to forecast future movements in macroeconomic time series. Lastly, our findings also shed light on the importance of considering exchange rate fluctuations in the process of trendstationary and random walk processes.
format	Research Reports
author	Tan Yan Ling
spellingShingle	Tan Yan Ling Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]
author_facet	Tan Yan Ling
author_sort	Tan Yan Ling
title	Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]
title_short	Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]
title_full	Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]
title_fullStr	Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]
title_full_unstemmed	Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]
title_sort	unit roots and structural breaks: new knowledge for the asean macroeconomic time series model / tan yan ling … [et al.]
publisher	Research Management Institute (RMI)
publishDate	2013
url	http://ir.uitm.edu.my/id/eprint/17501/ http://ir.uitm.edu.my/id/eprint/17501/2/LP_TAN%20YAN%20LING%20RMI%2013_5.pdf
first_indexed	2023-09-18T22:58:27Z
last_indexed	2023-09-18T22:58:27Z
_version_	1777418012447473664

Unit roots and structural breaks: new knowledge for the ASEAN macroeconomic time series model / Tan Yan Ling … [et al.]

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