IDEAS home Printed from https://ideas.repec.org/p/boc/neur24/05.html
   My bibliography  Save this paper

Limitations and comparison of the DFA, PP, and KPSS unit-root tests: Evidence for laboral market variables in Mexico

Author

Listed:
  • Ricardo Rodolfo Retamoza Yocupicio

    (The National Autonomous University of Mexico)

Abstract

Unit-root tests have represented a great contribution to time-series analysis by detecting when a variable is stationary or not. However, they present limitations, which, although known, are still used, and it seems that these limitations go unnoticed when applied in time-series studies. Examples of these limitations, mainly Dickey–Fuller (DF) and Phillips–Perron (PP), are that they could be detecting the presence of a unit root when the series does not have it. Consequently, this presentation includes some of the criticisms that have been made to the unit-root tests to consequently execute in Stata the three best-known unit root tests (DFA, PP , and KPSS) for the main macroeconomic variables of Mexico, this with the intention of analyzing, both graphically and technically, whether the series are stationary or not. The main conclusion is that unit-root tests are often more related to statistical than economic issues.

Suggested Citation

  • Ricardo Rodolfo Retamoza Yocupicio, "undated". "Limitations and comparison of the DFA, PP, and KPSS unit-root tests: Evidence for laboral market variables in Mexico," Northern European Stata Conference 2024 05, Stata Users Group.
  • Handle: RePEc:boc:neur24:05
    as

    Download full text from publisher

    File URL: http://repec.org/neur2024/Northern_Europe24_Rodolfo.pdf
    File Function: presentation materials
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:neur24:05. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/stataea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.