Testing for Unit Roots: Mexico's GDP

Alejandro Diaz-Bautista and Ramon A. Castillo Ponce
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Ramon A. Castillo Ponce: Bank of Mexico

Econometrics from University Library of Munich, Germany

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.

Keywords: Unit Root tests; structural Break and gross domestic product of Mexico. (search for similar items in EconPapers)
JEL-codes: C10 C2 C52 C81 F49 L11 R38 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2003-06-14
New Economics Papers: this item is included in nep-geo and nep-mac
Note: Type of Document - ; pages: 10 . Paper published at Momento Economico
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0306007

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