Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83735
Authors: 
Elizondo, Rocio
Year of Publication: 
2012
Series/Report no.: 
Working Papers, Banco de México 2012-11
Abstract (Translated): 
This article presents three methods to estimate the logarithm of monthly 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.
Subjects: 
Gross Domestic Product
Global Indicator of Economic Activity
Kalman Filter
Denton Method
Forecasts
JEL: 
C22
D24
E23
E27
Document Type: 
Working Paper
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