A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?
Viernes, 15 septiembre 2017
In this paper Francisco Corona, Graciela González-Farías and Pedro Orraca 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 representation, where
- Published in Revistas CIDE