Monthly GDP estimates based on the IGAE

Rocio Elizondo

No 2012-11, Working Papers from Banco de México

Abstract: This 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.

JEL-codes: C22 D24 E23 E27 (search for similar items in EconPapers)
Date: 2012-10
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (2)

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