[ Datation des changements structurels au sein d’une chronique: Le cas des séries macroéconomiques marocaines ]
Volume 18, Issue 1, October 2016, Pages 278–296
Abdelhamid EL BOUHADI1 and Driss OUAHID2
1 Department des Sciences Economiques, Université Sidi Mohamed ben Abdellah, Fès, Rabat, Morocco
2 Department des Sciences Economiques, Université Mohammed V Agdal, Rabat, Morocco
Original language: French
Copyright © 2016 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Over the past four decades, many events and economic and extra-economic changes questioned the relevance and validity of structural econometric models. Currently, all models are developed for a stationary process. However, this hypothesis is not usually verified. This article attempts to implement some unit root tests both in classical and modern ways. In particular, we will base our application on the tests with structural breaks time. Our investigation sample is composed about several Moroccan macroeconomic variables, namely real GDP, inflation rate, etc. Most of results of these implementation tests reveal us that all the series have undergone at least two breaks (two structural changes) at the time. The stationary is confirmed around a segmented trend, in case when that makes the reviewing the all standard stationary tests findings.
Author Keywords: Unit root, change in regime of series, stationary, Moroccan macroeconomic variables.
Volume 18, Issue 1, October 2016, Pages 278–296
Abdelhamid EL BOUHADI1 and Driss OUAHID2
1 Department des Sciences Economiques, Université Sidi Mohamed ben Abdellah, Fès, Rabat, Morocco
2 Department des Sciences Economiques, Université Mohammed V Agdal, Rabat, Morocco
Original language: French
Copyright © 2016 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
Over the past four decades, many events and economic and extra-economic changes questioned the relevance and validity of structural econometric models. Currently, all models are developed for a stationary process. However, this hypothesis is not usually verified. This article attempts to implement some unit root tests both in classical and modern ways. In particular, we will base our application on the tests with structural breaks time. Our investigation sample is composed about several Moroccan macroeconomic variables, namely real GDP, inflation rate, etc. Most of results of these implementation tests reveal us that all the series have undergone at least two breaks (two structural changes) at the time. The stationary is confirmed around a segmented trend, in case when that makes the reviewing the all standard stationary tests findings.
Author Keywords: Unit root, change in regime of series, stationary, Moroccan macroeconomic variables.
Abstract: (french)
Au cours des quatre dernières décennies, beaucoup d’événements et de changements économiques et extra-économiques ont remis en question la pertinence et la validité des modèles économétriques structurels. Aujourd’hui, tous les modèles sont conçus pour un univers stationnaire, alors que cette hypothèse n’est pas toujours vérifiée. Le présent article tente de mettre en application des tests de racine unitaire à la fois classiques et modernes en se basant particulièrement sur ceux avec un changement de régime. Notre échantillon est composé de plusieurs variables macroéconomiques marocaines, à savoir le PIB réel, le taux d’inflation .., etc. La plupart des résultats de l’implémentation de ces tests nous révèlent que les séries ont subi au cours du temps deux ruptures (deux changements structurels) au moins. Leur stationnarité est validée autour d’une tendance segmentée, ce qui révise en fait les résultats des tests standards.
Author Keywords: Racine unitaire, changement de régime, stationnarité, variables macroéconomiques marocaines.
How to Cite this Article
Abdelhamid EL BOUHADI and Driss OUAHID, “Dating structural changes in time series: The case of the Moroccan macroeconomic series,” International Journal of Innovation and Applied Studies, vol. 18, no. 1, pp. 278–296, October 2016.
