La ley de Okun: una relectura para México, 1970-2004
We estimated the dynamic relationship between the unemployment rate and output for the Mexican Economy for annual data (1970-2004). We estimated three structural time series models by using the Kalman filter. We found a coefficient in the range 2.08-2.5. In order to avoid spuriousness, we proved for cointegration through the Johansen Procedure; finally, through the estimation of VAR's we also proved that Granger causality runs in both senses in the three main Okun equations.
Volume (Year): 22 (2007)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.colmex.mx/centros/cee/|
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- G. W. Morrison & D. H. Pike, 1977. "Kalman Filtering Applied to Statistical Forecasting," Management Science, INFORMS, vol. 23(7), pages 768-774, March.
- David E. Altig & Terry J. Fitzgerald & Peter Rupert, 1997. "Okun's law revisited: should we worry about low unemployment?," Economic Commentary, Federal Reserve Bank of Cleveland, issue May.
- Lee, Jim, 2000. "The Robustness of Okun's Law: Evidence from OECD Countries," Journal of Macroeconomics, Elsevier, vol. 22(2), pages 331-356, April.
- Ozbek, Levent & Ozlale, Umit, 2005.
"Employing the extended Kalman filter in measuring the output gap,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 29(9), pages 1611-1622, September.
- Tom Doan, "undated". "RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients," Statistical Software Components RTZ00128, Boston College Department of Economics.
- James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
- Sweta Chaman Saxena & Valerie Cerra, 2000. "Alternative Methods of Estimating Potential Output and the Output Gap; An Application to Sweden," IMF Working Papers 00/59, International Monetary Fund. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:emx:esteco:v:22:y:2007:i:1:p:19-55. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rocío Contreras)
If references are entirely missing, you can add them using this form.