We study, using two data series, namely GDP and the index of industrial production, the relationship between output variability and the growth rate of output for Mexico. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Therefore, we use the ARCH-M model for the monthly data of industrial output. A number of specifications (with and without a dummy variable) are used. In all cases, the results show that output variability for Mexico has a negative but insignificant effect on the growth rate of output.
|Number of pages||7|
|Journal||The Empirical economics letters|
|Publication status||Published - 2009|
- economic growth
- business cycle fluctuations
- ARCH models