UNDERSTANDING INDONESIA’S MACROECONOMIC DATA: WHAT DO WE KNOW AND WHAT ARE THE IMPLICATIONS?

21Citations
Citations of this article
24Readers
Mendeley users who have this article in their library.

Abstract

Unit root properties of macroeconomic data are important for both econometric modeling and policymaking. The form of variables (whether they are a unit root process) helps determine the correct econometric model. Equally, the form of variables helps explain how they react to shocks (both internal and external). Macroeconomic time-series data are often at the forefront of shock analysis and econometric modeling. There is a growing research emphasis on Indonesia using time-series data; yet, there is limited understanding of the data characteristics and shock response of these data. Using an extensive dataset comprising 33 macroeconomic time-series variables, we provide an informative empirical analysis of unit root properties of this data. We find that, regardless of data frequency, empirical evidence of unit roots is mixed. Some data series respond quickly to shocks while others take more time. Almost all macroeconomic data suffer from structural breaks. We draw implications from these findings.

Cite

CITATION STYLE

APA

Sharma, S. S., Tobing, L., & Azwar, P. (2018). UNDERSTANDING INDONESIA’S MACROECONOMIC DATA: WHAT DO WE KNOW AND WHAT ARE THE IMPLICATIONS? Buletin Ekonomi Moneter Dan Perbankan, 21(2), 217–250. https://doi.org/10.21098/bemp.v21i2.967

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free