Testing for a unit root in Japanese GNP

Does competitive entry structurally change key marketing metrics?

“…Arestis and BiefangFrisancho Mariscal (1999) found that 15% of their 26 unemployment series were re-classified after allowing for more than one break. As summarized in Table 1, similar conclusions were obtained in the analysis of the per capita GDP of multiple Chinese provinces (Smyth & Inder, 2004), various US macro-economic series (Lumsdaine & Papell, 1997;Nelson & Plosser, 1982;Zivot & Andrews, 1992), and the Japanese GDP series (Iwamoto & Kobayashi, 1992;Ohara, 1999).…”

On the Stability of Long-Run M2 Demand in Japan

“…More speci®cally, the null hypothesis of a unit root cannot be rejected even at the 10% level of signi®cance and the null of stationarity is rejected at the 1% level. In recent work, however, Iwamoto and Kobayashi (1992) and Soejima (1995) ®nd evidence consistent with y t being stationary around a segmented trend. The dif®culty in interpreting this evidence lies in determining whether or not the trend break is exogeneous to the data generation process.…”

Granger Causality Between Money and Income for the Japanese Economy in the Presence of a Structural Change

“…He cited three facts: ®rst, a structural change occurred in 1972±3, shortly before the ®rst oil-shock period; second, the trend in the real and nominal GNP series altered from stochastic to deterministic; and ®nally, the process of (M2 CD) changed from I(2) to I(1). Iwamoto and Kobayashi (1992) tested for a unit root hypothesis on the GNP series with attention focused on the kink in the trend function; they showed that real GNP and real per capita GNP have a unit root both before and after the kinked point. Takeuchi (1991), and Iwamoto and Kobayashi (1992), however, split the data into subsamples before and after the structural change, and performed separate tests for a unit root based on each subsample.…”

“…Iwamoto and Kobayashi (1992) tested for a unit root hypothesis on the GNP series with attention focused on the kink in the trend function; they showed that real GNP and real per capita GNP have a unit root both before and after the kinked point. Takeuchi (1991), and Iwamoto and Kobayashi (1992), however, split the data into subsamples before and after the structural change, and performed separate tests for a unit root based on each subsample. On the other hand, Perron (1989) developed a method of utilizing the whole sample to test for a unit root on the model with a structural change in the trend function.…”