Unit roots in the Yugoslav macroeconomic time series
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Abstract
The paper evaluates the nature of the nonstationarity in some Yugoslav macroeconomic time series. The application of most-comonly used tests for the discrimination between trend-stationalry and difference-stationary class of models show that of models shows that most of the series considered contain a unit-root with a drift. The series are also tested for structural break. It has emerged only with respect of inflation rate. Thus, the use of ordinary unit-root tests shows that tural break, different procedure is employed, which brings the conclusion that inflation rate is trend-stationary process with structural change in its level.
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