Monthly GDP estimates based on the IGAE
AbstractThis 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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Bibliographic InfoPaper provided by Banco de México in its series Working Papers with number 2012-11.
Date of creation: Oct 2012
Date of revision:
Gross Domestic Product; Global Indicator of Economic Activity; Kalman Filter; Denton Method; Forecasts.;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull 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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- 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.
- 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.
- Pasricha, Gurnain Kaur, 2006. "Kalman Filter and its Economic Applications," MPRA Paper 22734, University Library of Munich, Germany.
- 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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