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La ley de Okun: una relectura para México, 1970-2004

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  • Eduardo Loría

    (Universidad Nacional Autónoma de México)

  • Manuel G. Ramos.

    (Universidad Nacional Autónoma de México)

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    Abstract

    We 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.

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    File URL: http://codex.colmex.mx:8991/exlibris/aleph/a18_1/apache_media/P84TTM38PFKQXKFUSXCU5Q5JGS1DBP.pdf
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    Bibliographic Info

    Article provided by El Colegio de México, Centro de Estudios Económicos in its journal Estudios Económicos.

    Volume (Year): 22 (2007)
    Issue (Month): 1 ()
    Pages: 19-55

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    Handle: RePEc:emx:esteco:v:22:y:2007:i:1:p:19-55

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    Web page: http://www.colmex.mx/centros/cee/
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    Related research

    Keywords: Okun's law; structural time series models; Kalman filter cuasality;

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    1. G. W. Morrison & D. H. Pike, 1977. "Kalman Filtering Applied to Statistical Forecasting," Management Science, INFORMS, vol. 23(7), pages 768-774, March.
    2. 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.
    3. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
    4. 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.
    5. 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.
    6. Lee, Jim, 2000. "The Robustness of Okun's Law: Evidence from OECD Countries," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 331-356, April.
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