Sector-Level Disaggregate Stochastic Trends in Mexico s Real Output

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Título :	Sector-Level Disaggregate Stochastic Trends in Mexico s Real Output
Palabras clave :	Economía y Finanzas;Sectorial Production;Sequential Unit Root Testing;Cointegration;Common Trends
Editorial :	Centro de Investigación y Docencia Económicas, A.C.
Descripción :	Our aim is to examine whether sectorial production shocks have predominated in Mexico's long annual real output, and whether shocks from different sectors are correlated. We study the long-run movement and comovements of 6 production sectors, using long, low frequency data for the Mexican economy from 1921 to 1993 and Johansen's (1991, 1995) method to test for cointegration, that is, the possibility of common stochastic shocks driving growth among sectors. Under cointegration, the idiosyncratic sectorial shocks cancel out and vanish, giving rise to a (possibly multiple) stochastic growth component common to all (some) sectors. We show that the sources of permanent innovations in Mexico's real output are more likely to come from sector-group-specific sources rather than from either independent sector-specific technological shocks, or common aggregate permanent innovations.
URI :	http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/82842
Otros identificadores :	http://www.redalyc.org/articulo.oa?id=32313102
Aparece en las colecciones:	Centro de Investigación y Docencia Económicas A.C. - CIDE - Cosecha

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