Testing for unit roots: México´s GDP

Resumen

THE DOCUMENT 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 NON-STATIONARY AND INTEGRATED OF ORDER 1. THIS 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.