Monetary and Economic Studies Vol.13, No.1 / July 1995

A Unit Root Test with Structural Change for Japanese Macroeconomic Variables

Yutaka Soejima

The problem of a time trend in the unit root test is first discussed and then a unit root test for Japanese macroeconomic variables under the assumption that a structural change has occurred in the time trend is conducted. Many Japanese macroeconomic variables exhibit a structural change in the data generating process around 1970. Once such a structural change in the time trend is taken into account, many real economic variables (such as real GNP) are found to follow a trend stationary process.

Keywords: Unit Root; Deterministic Trend; Structural Break; Null Hypothesis.

Views expressed in the paper are those of the authors and do not necessarily reflect those of the Bank of Japan or Institute for Monetary and Economic Studies.

Copyright © 1995 Bank of Japan All Rights Reserved.

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