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 ()
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- David 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.
- G. W. Morrison & D. H. Pike, 1977. "Kalman Filtering Applied to Statistical Forecasting," Management Science, INFORMS, vol. 23(7), pages 768-774, March.
- 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.
- 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, . "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.
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