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Integración estacional y cambio estructural en variables económicas de México

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  • Gómez, Mario

    ()
    (Instituto de Investigaciones Económicas y Empresariales de la Universidad Michoacana de San Nicolás de Hidalgo)

  • Hernández, Plinio

    ()
    (Instituto de Investigaciones Económicas y Empresariales de la Universidad Michoacana de San Nicolás de Hidalgo)

Abstract

In this work we determine the seasonal integration order of four macroeconomic variables in Mexico, with and without endogenously determined structural change. The models suggested by Hylleberg, Engle, Granger & Yoo (1990) and Franses & Vogelsang (1998) are applied. Following those models, including structural change, the results show reduced unit roots for the four variables. We find out that the four variables have zero frequency unit roots, while the GDP and government consumption expenditure have, also, quarterly seasonal unit roots.

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Bibliographic Info

Article provided by Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales in its journal Revista Nicolaita de Estudios Económicos.

Volume (Year): II (2007)
Issue (Month): 1 ()
Pages: 29-52

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Handle: RePEc:ris:rnicee:0026

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Keywords: structural change; unitary root; seasonal unitary root; macroeconomic variables;

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