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Economía mexicana. Nueva época

versión impresa ISSN 1665-2045

Resumen

ANTON SARABIA, Arturo. The End-of-Sample Problem in Output Gap Estimates. Econ. mex. Nueva época [online]. 2010, vol.19, n.1, pp. 5-30. ISSN 1665-2045.

This paper evaluates to what extent the end-of-sample problem inherent to the Hodrick-Prescott (HP) filter may be ameliorated when estimating the output gap. For that purpose, the filter of St-Amant and van Norden (1997) is proposed using Mexican data under both univariate and multivariate methods. As a reference, the filter of Christiano and Fitzgerald (2003) and a simple linear trend method are also used. 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. These results are used to interpret the conduct of monetary policy in Mexico during 2001-2002.

Palabras llave : GDP trend; output gap; end-of-sample problem; Mexico.

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