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Pronósticos restringidos con modelos de series de tiempo múltiples y su aplicación para evaluar metas de política macroeconómica en México

Author

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  • Victor M. Guerrero

    (Instituto Tecnológico Autónomo de México
    Instituto Nacional de Estadística, Geografía e Informática)

Abstract

This work applies the restricted forecasting methodology to monitor the attainment of targets announced by the Mexican Government for some relevant macroeconomic variables. This method yields scenarios that are in line with the expectations underlying the proposed targets. Some multiple time series models of the VAR, VEC and BVAR type are first built and their predictive abilities are analyzed. The method is then applied with the best forecasting model, which was found to be a BVAR model. With the scenarios so derived it is possible to decide whether the targets are feasible or not and the moment when statistically significant evidence has arisen to declare the targets unfeasible.

Suggested Citation

  • Victor M. Guerrero, 2007. "Pronósticos restringidos con modelos de series de tiempo múltiples y su aplicación para evaluar metas de política macroeconómica en México," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 22(2), pages 241-311.
    • Handle: RePEc:emx:esteco:v:22:y:2007:i:2:p:241-311
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/143/145
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    More about this item

    Keywords

    statistical monitoring; compatibility between restrictions and historical record;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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