The objective of this work would be to analyze the existence of long term relationships in Mexico, between prices, a monetary aggregate, income and interest rate.
For this purpose, I suggest a VAR model which matrix will be determined from theses equations:(the formulas I purpose are in the attached files as an image)
The time period of this work would be from 1996 to 2016.
To model the prices in Mexico according to literature is prefer to use the Mexican inpc(indice nacional de precios al consumidor) or by in English the national index of consumer prices. The serie can be dowloded from INEGI([url removed, login to view])
For the monetary aggregate M4 for Mexico, the information should be at Mexican Central Bank web page [url removed, login to view]
For income you could use the GDP in real terms form Mexican economy
And for interest rate series I suggest you used the the nominal rate for three months of the las moth of the quarter.
All this data shoul be found at INEGI or Banxico webpage.
Unit root test(ADF,P.P) without intercept or trend
A VAR model with errors test (autocorrelation,heterocedasticity,and normality)
Johansen cointegration test
Granger causality test
maximum likelihood test to verify long term stable relationships.
And all the test [url removed, login to view] conclusions please