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Raíces unitarias y ciclos en las principales variables macroeconómicas de argentina

Author

Listed:
  • Jorge Eduardo Carrera
  • Mariano Féliz
  • Demian Tupac Panigo

Abstract

In this paper we study the integration properties of some of the main macroeconomic series of Argentina. We present a robust methodology for the analysis of persistence of shocks affecting macroeconomic series and its consequences on the modeling of the cyclical and permanent components. Our strategy consists on testing the stationarity of the series by using a sequence of indicators in such a way that we can analyze the problem from three converging points of view: Persistence of the series, Unit Root (UR) and UR with a Structural Breaks, thus reaching robust results regarding the integration properties of the main 14 Argentinean macroeconomic time series. We are able to classify them in four homogenous groups according to its order of integration. This allows us to determine the best strategy for modeling the cyclical component of each variable. For example, we found that the GDP can be robustly considered integrated of order one, I (1)

Suggested Citation

  • Jorge Eduardo Carrera & Mariano Féliz & Demian Tupac Panigo, 2000. "Raíces unitarias y ciclos en las principales variables macroeconómicas de argentina," Department of Economics, Working Papers 020, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
    • Handle: RePEc:lap:wpaper:020
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    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • H7 - Public Economics - - State and Local Government; Intergovernmental Relations

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