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Estimaciones del PIB mensual en México basadas en el IGAE/Monthly GDP estimates in Mexico based on the IGAE

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  • Rocio Elizondo

    (Banco de México)

Abstract

This article presents three methods to estimate the monthly GDP in Mexico: (1) a deterministic approach; (2) an extension of Denton method; and, (3) the Kalman filter. In these methods the monthly GDP is regarded as an unobservable variable that is approximated using only the IGAE. Results show that the three methods do a good job in adjusting the observed data of the quarterly GDP within the sample, with average adjustment errors of at most 0.1%. Additionally, given the dynamic structure of the Kalman filter method and that under different estimation periods it was found that the parameters corresponding remained relatively stable. Therefore, this method was used to perform out-of-sample forecasts.

Suggested Citation

  • Rocio Elizondo, 2019. "Estimaciones del PIB mensual en México basadas en el IGAE/Monthly GDP estimates in Mexico based on the IGAE," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 34(2), pages 197-241.
    • Handle: RePEc:emx:esteco:v:34:y:2019:i:2:p:197-241
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    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/369/407
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    References listed on IDEAS

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    More about this item

    Keywords

    gross domestic product; global indicator of economic activity (IGAE); Kalman filter; Denton method; forecasts;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D24 - Microeconomics - - Production and Organizations - - - Production; Cost; Capital; Capital, Total Factor, and Multifactor Productivity; Capacity
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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