抄録
Many empirical studies have dealt with unit roots in the context of examining the trend properties of economic time series. However, these studies have not considered the possibility of structural changes in the trends of the time series data. In this paper, we propose models of trends that incorporate structural change and examine them with unit-root-test procedures. It is concluded that the trend properties of the Japanese GNP switched from having a unit root to no unit root. Using a stepwise Chow-test technique, we find that the point of structural change is not the first oil shock period but the period when a regime change occurred in the exchange rate system.
