A Sequential Procedure for Testing Unit Roots in the Presence of Structural Break in Time Series Data: An application to Quarterly Data in Nepal, 1970-2003

Authors

Min B Shrestha, Baluwatar, Kathmandu, Nepal
Khorshed Chowdhury, University of WollongongFollow

RIS ID

12014

Publication Details

Chowdhury, M. K. & Shrestha, M. (2005). A Sequential Procedure for Testing Unit Roots in the Presence of Structural Break in Time Series Data: An application to Quarterly Data in Nepal, 1970-2003. International Journal of Applied Econometrics and Quantitative Studies, 2 (2), 1-16.

Abstract

Testing for unit roots has special significance in terms of both economic theory and the interpretation of estimation result. As there are several methods available, researchers face method selection problem while conduction the unit root test on time series data i the presence of structural break.