Unit Roots and Cycles in the Main Macroeconomic Variables for Argentina

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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 strat...

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Autores principales: Carrera, Jorge Eduardo, Féliz, Mariano, Panigo, Demian Tupac
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 1999
Materias:
Ciencias Económicas
Unit Root
Persistence
Cycles
Structural breaks
Argentinean Macroeconomic variables
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/169309
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-169309
record_format dspace
spelling I19-R120-10915-1693092024-08-29T20:08:14Z http://sedici.unlp.edu.ar/handle/10915/169309 Unit Roots and Cycles in the Main Macroeconomic Variables for Argentina Carrera, Jorge Eduardo Féliz, Mariano Panigo, Demian Tupac 1999 1999 2024-08-29T17:09:30Z en Ciencias Económicas Unit Root Persistence Cycles Structural breaks Argentinean Macroeconomic variables 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. In such a way we reach robust results regarding the integration properties of the main 14 Argentinean macroeconomic time series. Thus, 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). Shocks seem to have permanent effects on the GDP and consequently a stochastic process is the best alternative for modeling its behavior. Finally, with respect to the date of the structural break relevant for the Argentinean economy, the years 1988-89 concentrate the greatest number of breaks detected endogenously for the series of these work. Thus, we can conclude that the convertibility does not appear to be a point of structural change in the data generating process of the main macroeconomic series of Argentina. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Unit Root
Persistence
Cycles
Structural breaks
Argentinean Macroeconomic variables
spellingShingle Ciencias Económicas
Unit Root
Persistence
Cycles
Structural breaks
Argentinean Macroeconomic variables
Carrera, Jorge Eduardo
Féliz, Mariano
Panigo, Demian Tupac
Unit Roots and Cycles in the Main Macroeconomic Variables for Argentina
topic_facet Ciencias Económicas
Unit Root
Persistence
Cycles
Structural breaks
Argentinean Macroeconomic variables
description 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. In such a way we reach robust results regarding the integration properties of the main 14 Argentinean macroeconomic time series. Thus, 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). Shocks seem to have permanent effects on the GDP and consequently a stochastic process is the best alternative for modeling its behavior. Finally, with respect to the date of the structural break relevant for the Argentinean economy, the years 1988-89 concentrate the greatest number of breaks detected endogenously for the series of these work. Thus, we can conclude that the convertibility does not appear to be a point of structural change in the data generating process of the main macroeconomic series of Argentina.
format Objeto de conferencia
Objeto de conferencia
author Carrera, Jorge Eduardo
Féliz, Mariano
Panigo, Demian Tupac
author_facet Carrera, Jorge Eduardo
Féliz, Mariano
Panigo, Demian Tupac
author_sort Carrera, Jorge Eduardo
title Unit Roots and Cycles in the Main Macroeconomic Variables for Argentina
title_short Unit Roots and Cycles in the Main Macroeconomic Variables for Argentina
title_full Unit Roots and Cycles in the Main Macroeconomic Variables for Argentina
title_fullStr Unit Roots and Cycles in the Main Macroeconomic Variables for Argentina
title_full_unstemmed Unit Roots and Cycles in the Main Macroeconomic Variables for Argentina
title_sort unit roots and cycles in the main macroeconomic variables for argentina
publishDate 1999
url http://sedici.unlp.edu.ar/handle/10915/169309
work_keys_str_mv AT carrerajorgeeduardo unitrootsandcyclesinthemainmacroeconomicvariablesforargentina
AT felizmariano unitrootsandcyclesinthemainmacroeconomicvariablesforargentina
AT panigodemiantupac unitrootsandcyclesinthemainmacroeconomicvariablesforargentina
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