Unit roots and cycles in the main macroeconomic variables for Argentina
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 strateg...
Guardado en:
| Autores principales: | , , |
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| Formato: | Articulo Documento de trabajo |
| Lenguaje: | Inglés |
| Publicado: |
2000
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| Materias: | |
| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/3508 http://www.depeco.econo.unlp.edu.ar/doctrab/doc20.pdf |
| Aporte de: |
| id |
I19-R120-10915-3508 |
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| record_format |
dspace |
| institution |
Universidad Nacional de La Plata |
| institution_str |
I-19 |
| repository_str |
R-120 |
| collection |
SEDICI (UNLP) |
| language |
Inglés |
| topic |
Ciencias Económicas economía Argentina macroeconomía producto interior bruto unit root; persistence; cycles; structural breaks; Argentinean macroeconomic variables |
| spellingShingle |
Ciencias Económicas economía Argentina macroeconomía producto interior bruto 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 economía Argentina macroeconomía producto interior bruto 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, 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. |
| format |
Articulo Documento de trabajo |
| 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 |
2000 |
| url |
http://sedici.unlp.edu.ar/handle/10915/3508 http://www.depeco.econo.unlp.edu.ar/doctrab/doc20.pdf |
| work_keys_str_mv |
AT carrerajorgeeduardo unitrootsandcyclesinthemainmacroeconomicvariablesforargentina AT felizmariano unitrootsandcyclesinthemainmacroeconomicvariablesforargentina AT panigodemiantupac unitrootsandcyclesinthemainmacroeconomicvariablesforargentina AT carrerajorgeeduardo raicesunitariasyciclosenlasprincipalesvariablesmacroeconomicasdeargentina AT felizmariano raicesunitariasyciclosenlasprincipalesvariablesmacroeconomicasdeargentina AT panigodemiantupac raicesunitariasyciclosenlasprincipalesvariablesmacroeconomicasdeargentina |
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Repositorios |
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