• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing: Engineering & Technology Digital Library, ProQuest, Crossref, Electronic Journals Library, DOAJ , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2013 Vol.4(4): 230-237 ISSN: 2010-023X
DOI: 10.7763/IJTEF.2013.V4.292

Testing for Unit Roots and Structural Breaks: Evidence from Selected ASEAN Macroeconomic Time Series

Tan Yan Ling, Abu Hassan Shaari Mohd Nor, Nur Adilah Saud, and Zailati Ahmad
Abstract—The purpose of this study is to carry out a comprehensive examination of the unit root hypothesis and structural breaks in ASEAN macroeconomic time series from 1960 to 2010 using endogenous break ADF-type unit root tests. Once allowance is considered for structural breaks, the number of rejections of a unit root null is relatively higher than without breaks. The difference between ZA and LP models, is that ZA shows that US Dollar terms denomination series are more favorable of trend-stationary processes, whereas the series under local currency terms tend to reject the null hypothesis of a unit root in LP models. Moreover, the break points are closely associated with global economic events such as the first and second oil shocks in 1973-1975 and 1979-1980, respectively, the commodity crisis (1985-1986) and the Asian financial crisis (1997-1998). 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 trend-stationary and unit root.

Index Terms—Unit root, structural break, macroeconomic time series, ASEAN.

Tan Yan Ling, Nur Adilah Saud, and Zailati Ahmad are with Faculty of Business and Management, Universiti Teknologi MARA Johor Branch, Segamat, Johor, Malaysia (e-mail: tyling118@yahoo.com, kakak510@yahoo.com, zaila856@johor.uitm.edu.my).
Abu Hassan Shaari Mohd Nor is with Faculty of Economics and Management, Universiti Kebangsaan Malaysia, Bangi, Selangor, Malaysia (e-mail: ahassan@ukm.my).

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Cite:Tan Yan Ling, Abu Hassan Shaari Mohd Nor, Nur Adilah Saud, and Zailati Ahmad, "Testing for Unit Roots and Structural Breaks: Evidence from Selected ASEAN Macroeconomic Time Series," International Journal of Trade, Economics and Finance vol. 4, no. 4, pp. 230-237, 2013.

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