The paper presents a statistical analysis of the time series properties of the monthly activity index of Chile (IMACEC) for the period 1985:01 to 1996:08. Several competing hypotheses are examined within a general (nested) model. The most successful statistical representation of the series corresponds to a trend stationary process with occasional shifts in levels. Alternative hypotheses such as difference stationarity or occasional shifts in trend are strongly rejected. The statistical findings suggest the concept of a "natural rate of growth" for the Chilean economy, which corresponds to the constant growth rate of the underlying deterministic trend found in the data. This natural rate is of 8.34% a year. Given the greater volatility of IMACEC with respect to the GDP an equivalent natural rate of growth of GDP would be around 8.1% per year. Unlike the underlying "natural rate of growth", sample growth averages are not constant. For example, the average growth rate for IMACEC during 1986-89 was of 8.1% while the average during 1990-95 was 6.9%, with growth rates ranging from 2.3% in 1990 to 11.8% in 1992. Within our statistical representation, this phenomenon is explained by the occasional shifts in levels that affect the economy from time to time. Future research on the line of Chumacero and Quiroz (1996) should focus on explaining the sources of those shifts.
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Article provided by Instituto de Economía. Pontificia Universidad Católica de Chile. in its journal Cuadernos de Economía.
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