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¿Histéresis en la tasa de desempleo de Bogotá? Consideraciones sobre el uso de los test ADF y Zivot-Andrews

Author

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  • Andrés Eduardo Rangel Jiménez

Abstract

Este artículo toma como base la información de la tasa de desempleo de Bogotá en el periodo 1984-2000 para analizar la estacionariedad de la serie utilizando los test de Dickey Fuller Aumentado (ADF) y el de Zivot-Andrews (ZA). Se expone cómo en presencia de cambio estructural el test convencional de raices unitarias ADF se sesga hacia la existencia de raiz unitaria cuando realmente no existe y dada la alta probabilidad de cometer error tipo II en ese test se propone la utilización del test de ruptura secuencial de ZA, el cual diferencia si una serie presentarealmente raíz unitaria, aun en presencia de un cambio estructural. Para el último caso ZA ubica con precisiónel periodo del cambio estructural y si sucedió en media, pendiente o en ambos. Al aplicar ZA sobre la tasa de desempleo de Bogotá para el periodo referido, el resultado muestra la presencia de raíz unitaria en la serie dentro de un cambio estructural en media y pendiente en el tercer trimestre de 1995.

Suggested Citation

  • Andrés Eduardo Rangel Jiménez, 2009. "¿Histéresis en la tasa de desempleo de Bogotá? Consideraciones sobre el uso de los test ADF y Zivot-Andrews," Revista de Economía y Administración, Universidad Autónoma de Occidente, February.
    • Handle: RePEc:col:000156:005276
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    More about this item

    Keywords

    Raiz unitaria; desempleo; test de ruptura secuencial; series de tiempo.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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