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Testing for Structural Breaks in Australia’s Monetary Aggregates and Interest Rates: An Application of the Innovational Outlier and Additive Outlier Models
Faculty of Business - Economics Working Papers
  • Mosayeb Pahlavani, University of Wollongong
  • Abbas Valadkhani, University of Wollongong
  • A. Worthington, University of Wollongong
Publication Date
1-1-2005
Publication Details
Pahlavani, M, Valadkhani, A and Worthington, A, Testing for Structural Breaks in Australia’s Monetary Aggregates and Interest Rates: An Application of the Innovational Outlier and Additive Outlier Models, Working Paper 05-02, Department of Economics, University of Wollongong, 2005.
Abstract

This paper employs all quarterly time series currently available to endogenously determine the timing of structural breaks for various monetary aggregates and interest rates in Australia over the last thirty years. The Innovational Outlier model (IO) and the Additive Outlier model (AO) are then used to test for nonstationarity. After accounting for the single most significant structural break, the results from both models clearly indicate that the null of at least one unit root cannot be rejected for almost all series examined. The structural breaks found coincide with important policy changes during the period of financial deregulation starting in the 1980s

Citation Information
Mosayeb Pahlavani, Abbas Valadkhani and A. Worthington. "Testing for Structural Breaks in Australia’s Monetary Aggregates and Interest Rates: An Application of the Innovational Outlier and Additive Outlier Models" (2005)
Available at: http://works.bepress.com/acworthington/24/