El problema al final de la muestra en la estimación del PIB potencial

Arturo Antón-Sarabia

No DTE 442, Working Papers from CIDE, División de Economía

Abstract: This paper evaluates to what extent the end-of-sample problem inherent to the Hodrick-Prescott (HP) filter may be ameliorated when estimating the trend component of GDP. For that purpose, the filter of St-Amant and van Norden (1997) is proposed using Mexican data and both univariate and multivariate methods. The trend component of GDP is also estimated with a linear trend method. On average, the results suggest that both the univariate method of St-Amant and van Norden and the linear trend method may significantly decrease the end-of-sample problem of the HP filter.

Keywords: GDP trend; output gap; end-of-sample problem; Mexico (search for similar items in EconPapers)
JEL-codes: C82 E3 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2008-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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