The (in)existence of a unit root in Brazilian gross domestic product

被引：4

作者：

Aguirre, A ^{[1
]}

Ferreira, AHB ^{[1
]}

机构：

[1] UFMG, Dept Ciencias Econ, CEPE, Ctr Res Int Econ, BR-30170120 Belo Horizonte, MG, Brazil

来源：

APPLIED ECONOMICS LETTERS | 2001年 / 8卷 / 10期

关键词：

D O I：

10.1080/13504850110049423

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper challenges the currently accepted view that the Brazilian GDP series is I(1). The known results of the augmented Dickey-Fuller test not rejecting the null of existence of a unit root - and the rejection of the null of stationarity obtained using an alternative test - are credited to the existence of an important structural break in the series which neither of those tests account for. A testing procedure is used here which takes into account one trend break with an endogenously determined date, and gives results which overturn the now prevailing diagnostic.

引用

页码：645 / 647

页数：3

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