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
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
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Persistent link: https://EconPapers.repec.org/RePEc:emc:wpaper:dte442
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