Structural change and unit root testing: British industrial production 1700-1913

This paper considers unit root tests of the index of British industrial production 1700-1913. For the full sample the data are found to be I(1). However, three distinct phases are identified with alternating stationarity properties. One period, 1780-1851, is identified as the British Industrial Revolution. The results support the findings of Perron (1989) and Reichlin (1989) on the dangers of unit root testing in models with structural change.

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Year of publication:	1994
Authors:	Greasley, David ; Oxley, Les
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 1.1994, 3, p. 39-40
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005437661