Dynamic convergence of time series and its inconsistency with stationarity in economic analysis
DOI:
https://doi.org/10.24275/uam/azc/dcsh/ae/2022v38n97/LiuKeywords:
Time series, Dynamic convergence, Stationarity, Unit RootAbstract
The objective of this paper is to analyze the consistency between stationarity and dynamic convergence of time series, since in economic science both issues are often addressed independently, particularly from the methodological point of view, they are studied in a mutually exclusive manner. However, these two approaches are widely related, and their study has the common purpose of making forecasts and projections in any economic variable. For this reason, given the inappropriate specification of a model or the possible presence of spuriousness, the theoretical correspondence between these two properties could be incongruous in practice, especially for autoregressive modeling due to the assumption of ergodicity; in this way, the forecasts made based on this type of models could be erroneous within the economic analysis.
However, this type of analysis has not been carried out to date with clearness and deepness, which would mean a new line of research in the empirical analysis of stationarity and dynamic convergence in the economy, and in this specific case, the variables that make up international trade and the exchange rate adjustments in Mexico are involved
Keywords: Time series; Dynamic convergence; Stationarity; Unit Root.
JEL Classification: C10; C32; C53; F00.
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