A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?
Abstract In this paper we propose to use the common trends of the Mexican economy in order to predict economic activity one and two steps ahead. We exploit the cointegration properties of the macroeconomic time series, such that, when the series are I(1) and cointegrated, there is a factor represent...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Centro de Investigación y Docencia Económicas
2017-09-01
|
| Series: | Latin American Economic Review |
| Subjects: | |
| Online Access: | http://link.springer.com/article/10.1007/s40503-017-0044-7 |