Structural Breaks and Unit Root: Evidence from Pakistani Macroeconomic Time Series

19 Pages Posted: 20 Feb 2007

See all articles by Muhammad Waheed

Muhammad Waheed

Pakistan Institute of Development Economics

Tasneem Alam

State Bank of Pakistan (SBP) - Research Department

Saghir Pervaiz Ghauri

Pakistan Institute of Development Economics

Date Written: December 15, 2006

Abstract

The purpose of this paper is to examine the unit root properties of eleven Pakistani macroeconomic series using annual data. Along with traditional unit root tests, we use the procedure developed by Zivot and Andrews to test the null of unit root against the break-stationary alternative. Conventional unit root tests indicate that all variable are non-stationary at the levels. Results from Zivot and Andrews test suggest that we can reject the null of unit root for CPI and WPI at 5 percent significance level while we fail to reject the unit root hypothesis for the remaining 9 series. At the same time, the Zivot and Andrews test identifies endogenously the point of the single most significant structural break in every time series examined. The results show that ten of the eleven series studied bear witness to the presence of a structural break during the period 1972 to 1976.

Keywords: Structural break, Unit root, Pakistan

JEL Classification: C22

Suggested Citation

Waheed, Muhammad and Alam, Tasneem and Ghauri, Saghir Pervaiz, Structural Breaks and Unit Root: Evidence from Pakistani Macroeconomic Time Series (December 15, 2006). Available at SSRN: https://ssrn.com/abstract=963958 or http://dx.doi.org/10.2139/ssrn.963958

Muhammad Waheed (Contact Author)

Pakistan Institute of Development Economics ( email )

Quaid-i-Azam University Campus, P.O. Box. 1091
Islamabad, Capital 44000
Pakistan

Tasneem Alam

State Bank of Pakistan (SBP) - Research Department ( email )

I.I.CHUNDRIGAR ROAD
KARACHI
Pakistan

Saghir Pervaiz Ghauri

Pakistan Institute of Development Economics ( email )

Quaid-i-Azam University Campus, P.O. Box. 1091
Islamabad, Capital 44000
Pakistan

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
288
Abstract Views
1,469
rank
115,743
PlumX Metrics