إعادة النظر في علاقات الاقتصاد الكلي : حالة وجود صدمات و تغيرات هيكلية

Abstract EN

This study aims to reconsider macroeconomic relationships in the presence of shocks and structural changes at the level of time series data, and these shocks and structural changes are explained through tests of structural breaks.

Since the groundwork of Nelson and Ploser (1982), testing for the existence of a unit root in time series data has become a topic of serious concern.

This issue gained prominence with Perron's 1989 paper which confirmed on the importance of shocks and structural changes when testing unit root processes.

Standard cointegration tests (Engle and Granger (1987, Johansen (1988) cannot adequately find a cointegration relationship under shocks and structural changes.

For this reason, various tests of cointegration with shocks and structural changes, also known as regime shift, have been used, for example (Gregory and Hansen (1996), Hatmi-J (2008, Maki (2012).

The main finding of this study is that shocks and structural changes are taken into account when modeling economic relationships between variables.