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

Author

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  • Arturo Antón-Sarabia

    (Division of Economics, CIDE)

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.

Suggested Citation

  • Arturo Antón-Sarabia, 2008. "El problema al final de la muestra en la estimación del PIB potencial," Working Papers DTE 442, CIDE, División de Economía.
    • Handle: RePEc:emc:wpaper:dte442
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    File URL: http://www.economiamexicana.cide.edu/RePEc/emc/pdf/DTE/DTE442.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Wulfrano Gómez & Leovardo Mata & Montserrat Reyna, 2013. "Hodrick-Prescott Filter: An Extreme-Sport Testing," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 7(1), pages 1-13.

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    More about this item

    Keywords

    GDP trend; output gap; end-of-sample problem; Mexico;
    All these keywords.

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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