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Predictive Ability of the Composed Cyclical Indices for the Turning Points of the Mexican Economy


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  • Víctor M. Guerrero

    (Profesor de tiempo completo, Departamento de Estadística, Instituto Tecnológico Autónomo de México (ITAM), México.)

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    This work analyzes the predictive ability of some cyclical indices for the turning points of the Mexican economy. The growth cycle approach adopted requires working with detrended series, and so several detrending methods were tried. A double Hodrick-Prescott filter application produced the best results in terms of revisions. Then, the coincident and leading indices were estimated with three different methods: 1) NBER, 2) OECD and 3) Stock-Watson’s. The resulting coincident indices produce similar and acceptable results, but the leading ones do not work as expected.

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    Bibliographic Info

    Article provided by in its journal Economia Mexicana NUEVA EPOCA.

    Volume (Year): XXII (2013)
    Issue (Month): 1 (January-June)
    Pages: 47-99

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    Handle: RePEc:emc:ecomex:v:22:y:2013:i:1:p:47-99

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    Related research

    Keywords: growth cycles; trend estimation; Hodrick-Prescott filter; leading index; coincident index.;

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