The unit root tests that take structural breaks into consi̇derati̇on: An application on main macroeconomic variables

Obtaining meaningful relationships between variables in time series analysis depends on stationarity of the series. Therefore, whether the series used in the analyzes are stationary or not should be examined with unit root tests. However, the main problem encountered in traditional unit root tests is that structural breaks are not taken into account. However, the exposure of economic time series to structural breaks is a possible situation in crisis periods, structural reforms, and political crisis and so on. In a time series with structural breaks, the traditional unit root tests can give biased results. For this purpose, in this study, whether the monthly and annual data of the main economic variable of Turkey are stationary or not were tested with the unit root tests that considered structural breaks. According to the results of the study, the unit root tests that consider structural breaks generally provide more evidence for rejecting the unit root null hypothesis.