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Monthly GDP estimates based on the IGAE

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  • Rocío Elizondo
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    Abstract

    This article presents three methods to estimate the logarithm of montly real GDP in Mexico from the Global Indicator of Economic Activity (IGAE): (1) a deterministic approach using the IGAE growth rate; (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 suggest that the method based on the Kalman filter seems to fit better the observed data of quarterly GDP under several error measures. By analyzing different estimation periods it was found that the parameters corresponding to the filter remained relatively stable over the period of study. Therefore, this method was used to perform out-of-sample forecasts.

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    File URL: http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/%7B3EC7A808-3967-0607-B4FF-12AB62464094%7D.pdf
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    Bibliographic Info

    Paper provided by Banco de México in its series Working Papers with number 2012-11.

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    Date of creation: Oct 2012
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    Handle: RePEc:bdm:wpaper:2012-11

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    Keywords: Gross Domestic Product; Global Indicator of Economic Activity; Kalman Filter; Denton Method; Forecasts.;

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    1. V. Guerrero & J. Martínez, 1995. "A recursive ARIMA-based procedure for disaggregating a time series variable using concurrent data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 4(2), pages 359-376, December.
    2. Karanfil, Fatih & Ozkaya, Ata, 2007. "Estimation of real GDP and unrecorded economy in Turkey based on environmental data," Energy Policy, Elsevier, vol. 35(10), pages 4902-4908, October.
    3. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
    4. Pasricha, Gurnain Kaur, 2006. "Kalman Filter and its Economic Applications," MPRA Paper 22734, University Library of Munich, Germany.
    5. Nicolas A. Cuche & Martin K. Hess, 1999. "Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland," Working Papers 99.02, Swiss National Bank, Study Center Gerzensee.
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