An Econometric Forecast Model of Private Investment in Mexico

Pérez López Elguézabal Alejandro

No 2004-04, Working Papers from Banco de México

Abstract: This paper develops an econometric model of private investment for Mexico to perform forecasts on this variable. The hypotheses for firm investment dynamics considered in the present document are derived from different variants of a model of intertemporal optimization. In the empirical section, cointegration techniques and error correction models are used. The sample considers quarterly data from the first quarter of 1980 to the third quarter of 2002. According to these models, private investment depends positively on output, and negatively on the real exchange rate and public investment. Forecasts are presented in terms of both point estimates and confidence intervals. In most cases, the confidence band around the forecast includes the observed value of the forecasted variable.

JEL-codes: E22 E23 E27 (search for similar items in EconPapers)
Date: 2004-09
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Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2004-04

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