Testing for unit roots: México´s GDP

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RAMÓN A. CASTILLO PONCE
ALEJANDRO DÍAZ BAUTISTA

Resumen

THE DOCUMENT PRESENTS AN ANALYSIS OF THE STOCHASTIC NATURE OF THE GROSS DOMESTIC PRODUCT OF MEXICO FOR THE PERIOD 1900-2001. SEVERAL SPECIFICATIONS TO TEST FOR THE EXISTENCE OF UNIT ROOTS ARE PRESENTED. THE CONVENTIONAL TESTS, DICKEY FULLER, AUGMENTED DICKEY FULLER AND PHILLIPS PERRON, INDICATE THAT THE SERIES IS NON-STATIONARY AND INTEGRATED OF ORDER 1. THIS RESULT IS ROBUST TO THE INCLUSION OF EXOGENOUSLY AND ENDOGENOUSLY DETERMINED STRUCTURAL BREAKS. INTERESTINGLY, WHEN STRUCTURAL BREAKS ARE DETERMINED ENDOGENOUSLY, A STRUCTURAL BREAK IN 1907 IS IDENTIFIED. WE INTERPRET THIS RESULTS AS SUGGESTING THAT SETTING THE DATE OF A STRUCTURAL BREAK EX-ANTE MIGHT NOT BE THE MOST EFFICIENT PROCEDURE WHEN TESTING FOR UNIT ROOTS.

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Cómo citar
CASTILLO PONCE, R. A., & DÍAZ BAUTISTA, A. (2009). Testing for unit roots: México´s GDP. Revista Momento Económico, (124). Recuperado a partir de https://journals.unam.mx/index.php/rme/article/view/4326