La ley de Okun: una relectura para México, 1970-2004
AbstractWe estimated the dynamic relationship between the unemployment rate and output for the Mexican Economy for annual data (1970-2004). We estimated three structural time series models by using the Kalman filter. We found a coefficient in the range 2.08-2.5. In order to avoid spuriousness, we proved for cointegration through the Johansen Procedure; finally, through the estimation of VAR's we also proved that Granger causality runs in both senses in the three main Okun equations.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.
Volume (Year): 22 (2007)
Issue (Month): 1 ()
Okun's law; structural time series models; Kalman filter cuasality;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- G. W. Morrison & D. H. Pike, 1977. "Kalman Filtering Applied to Statistical Forecasting," Management Science, INFORMS, vol. 23(7), pages 768-774, March.
- Ozbek, Levent & Ozlale, Umit, 2005.
"Employing the extended Kalman filter in measuring the output gap,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 29(9), pages 1611-1622, September.
- Tom Doan, . "RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients," Statistical Software Components RTZ00128, Boston College Department of Economics.
- James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
- David Altig & Terry J. Fitzgerald & Peter Rupert, 1997. "Okun's law revisited: should we worry about low unemployment?," Economic Commentary, Federal Reserve Bank of Cleveland, issue May.
- Sweta Chaman Saxena & Valerie Cerra, 2000. "Alternative Methods of Estimating Potential Output and the Output Gap - An Application to Sweden," IMF Working Papers 00/59, International Monetary Fund.
- Lee, Jim, 2000. "The Robustness of Okun's Law: Evidence from OECD Countries," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 331-356, April.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rocío Contreras).
If references are entirely missing, you can add them using this form.