Abstract
This paper investigates the unit root properties of 14 Japanese macroeconomic time series using quarterly data from 1957─2008. Using the conventional ADF test, we can only reject the unit root null for 3 of the 14 series. However, after allowing for one or two structural breaks, our empirical results show that the unit root hypothesis can be rejected in favor of one or two breaks alternative hypothesis for a total of 12 of the 14 series considered in our study. Hence, for more robust results in testing the unit root hypothesis, it is important to allow for the possibility of structural break（s）
