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Testing for Unit Roots: Mexico's GDP

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Author Info

  • Alejandro Diaz-Bautista

    (COLEF)

  • Ramon A. Castillo Ponce

    (Bank of Mexico)

Abstract

The study 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 nonstationary and integrated of order 1. The 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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File URL: http://128.118.178.162/eps/em/papers/0306/0306007.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Econometrics with number 0306007.

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Length: 10 pages
Date of creation: 14 Jun 2003
Date of revision:
Handle: RePEc:wpa:wuwpem:0306007

Note: Type of Document - ; pages: 10 . Paper published at Momento Economico
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Web page: http://128.118.178.162

Related research

Keywords: Unit Root tests; structural Break and gross domestic product of Mexico.;

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Cited by:
  1. Ramon A. CASTILLO PONCE & Ramon de Jesus RAMIREZ ACOSTA, 2008. "Economic Integration In North America," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 8(2), pages 111-122.

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