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Integración estacional y cambio estructural en variables económicas de México

Author

Listed:
  • 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.

Suggested Citation

  • Gómez, Mario & Hernández, Plinio, 2007. "Integración estacional y cambio estructural en variables económicas de México," Revista Nicolaita de Estudios Económicos, Universidad Michoacana de San Nicolás de Hidalgo, Instituto de Investigaciones Económicas y Empresariales, vol. 0(1), pages 29-52.
    • Handle: RePEc:ris:rnicee:0026
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    More about this item

    Keywords

    structural change; unitary root; seasonal unitary root; macroeconomic variables;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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