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Predictive Ability of the Composed Cyclical Indices for the Turning Points of the Mexican Economy

Author

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  • Víctor M. Guerrero

    () (Profesor de tiempo completo, Departamento de Estadística, Instituto Tecnológico Autónomo de México (ITAM), México.)

Abstract

This work analyzes the predictive ability of some cyclical indices for the turning points of the Mexican economy. The growth cycle approach adopted requires working with detrended series, and so several detrending methods were tried. A double Hodrick-Prescott filter application produced the best results in terms of revisions. Then, the coincident and leading indices were estimated with three different methods: 1) NBER, 2) OECD and 3) Stock-Watson’s. The resulting coincident indices produce similar and acceptable results, but the leading ones do not work as expected.

Suggested Citation

  • Víctor M. Guerrero, 2013. "Predictive Ability of the Composed Cyclical Indices for the Turning Points of the Mexican Economy," Economía Mexicana NUEVA ÉPOCA, , vol. 0(1), pages 47-99, January-J.
  • Handle: RePEc:emc:ecomex:v:22:y:2013:i:1:p:47-99
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    File URL: http://www.economiamexicana.cide.edu/num_anteriores/XXII-1/02-EM_Capacidad_predictiva_(47-99).pdf
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    More about this item

    Keywords

    growth cycles; trend estimation; Hodrick-Prescott filter; leading index; coincident index.;

    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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