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Testing for Unit Roots: Mexico's GDP

Author

Listed:
  • 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.

Suggested Citation

  • Alejandro Diaz-Bautista & Ramon A. Castillo Ponce, 2003. "Testing for Unit Roots: Mexico's GDP," Econometrics 0306007, EconWPA.
  • Handle: RePEc:wpa:wuwpem:0306007
    Note: Type of Document - ; pages: 10 . Paper published at Momento Economico
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0306/0306007.pdf
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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.

    More about this item

    Keywords

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

    JEL classification:

    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other
    • R38 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Government Policy
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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