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

Víctor M. Guerrero ()
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Víctor M. Guerrero: Profesor de tiempo completo, Departamento de Estadística, Instituto Tecnológico Autónomo de México (ITAM), México.

Economía Mexicana NUEVA ÉPOCA, 2013, vol. XXII, issue 1, 47-99

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.

Keywords: growth cycles; trend estimation; Hodrick-Prescott filter; leading index; coincident index. (search for similar items in EconPapers)
JEL-codes: C43 E30 E32 E37 (search for similar items in EconPapers)
Date: 2013
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