Trend estimation of multivariate time series with controlled smoothness

Guerrero, Vı́ctor M.; Islas-Camargo, Alejandro; Ramírez-Ramírez, L. Leticia

doi:10.1080/03610926.2015.1133826

Cited by 5 publications

(4 citation statements)

References 22 publications

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“…Informal sector employees are defined as workers employed at unregistered firms. 18 Figure 1 describes the behaviour of the jointly estimated cyclical components of output and unemployment, which were extracted using the methodology proposed by Guerrero, Islas and Ramírez (2017). This chart shows that the behaviour of the cyclical components is consistent with the economic theory of Okun's law, implying that cyclical unemployment is negative only if cyclical output is positive and vice versa.…”

Section: The Datamentioning

confidence: 76%

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Can the informal sector affect the relationship between unemployment and output? An analysis of the Mexican case

Islas-Camargo¹,

Cortez²

2019

CEPAL Review

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A key aspect of developing countries is the existence of a large informal sector. In the present paper, we analyse the effect of this feature on the relationship between unemployment changes and output growth for Mexico, a country characterized by the existence of a large informal sector. Following recent studies on Okun's coefficient, we first test whether the relationship between the cyclical components of unemployment and output is asymmetric. We then explore the possibility that this non-linear relationship may be affected by changes in the informal sector. Our results indicate that there is evidence of an asymmetric relationship between the cyclical components.

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Section: The Datamentioning

confidence: 76%

“…We use a different semi-structural technique based on a true multiple time series filtering method that was proposed by Guerrero, Islas and Ramírez (2017) and is known as the bivariate Hodrick-Prescott (BHP) filter. This new method can be used to extract a pair of trends that might share similar dynamic behaviours.…”

Section: Empirical Modelsmentioning

confidence: 99%

Can the informal sector affect the relationship between unemployment and output? An analysis of the Mexican case

Islas-Camargo¹,

Cortez²

2019

CEPAL Review

Self Cite

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“…To decide the percentage of smoothness through said index, in Guerrero et al (2017), based on some particularities, a certain index of smoothness is suggested based on the structure of the data. However, the sample sizes of the time series are very different.…”

Section: Smoothness Indexmentioning

confidence: 99%

Trend estimation and forecasting of atmospheric pollutants in the Mexico City Metropolitan Area through a non-parametric perspective

Ramos-Ibarra

Silva

2020

ATM

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Trends and forecasts of the main atmospheric pollutants (O3, SO2, NO2, CO, PM10, PM2.5, NO and NOX) are estimated by regions of the Metropolitan Zone of Mexico City (MZMC), with maximum daily data from 2008 to 2018. A nonparametric statistical smoothing controlled technique based on the Hodrick and Prescott filter and estimated through the Kalman filter, is used. Both point and interval estimates, as well as their respective forecasts are generated. The estimates against the Environmental Standard for Mexico City (NADF-009-AIRE-2017) are compared, and it is evident that, in general, they are still distant from good air quality in the MZMC, as opposed to CO and NO2. The remaining pollutants have trends and forecasts, which are far from the permissible limits.

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“…En el gráfico 1 se describe el comportamiento de la estimación conjunta de los componentes cíclicos de producción y desempleo; para su extracción se ha utilizado la metodología propuesta por Guerrero, Islas y Ramírez (2017). En él se muestra que el comportamiento de los componentes cíclicos es coherente con la teoría económica de la ley de Okun, lo cual implica que el desempleo cíclico solo es negativo en caso de que la producción cíclica sea positiva, y viceversa.…”

Section: Los Datosunclassified

¿Puede el sector informal afectar a la relación entre desempleo y producción? Un análisis del caso de México

Islas¹,

Cortez²

2019

Revista De La CEPAL

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Un aspecto fundamental de los países en desarrollo es la existencia de un gran sector informal. En el presente trabajo se analiza el efecto que este rasgo tiene sobre la relación entre las variaciones en el desempleo y el crecimiento de la producción en el caso de México, un país que se caracteriza por la existencia de un gran sector informal. Partiendo de estudios recientes sobre el coeficiente de Okun, en primer lugar, pondremos a prueba si la relación ente los componentes cíclicos de desempleo y producción es asimétrica. A continuación, exploraremos la posibilidad de que esta relación no lineal pueda verse afectada por variaciones en el sector informal. Nuestros resultados apuntan a la existencia de una relación asimétrica entre los componentes cíclicos. 1 Los autores reconocen y agradecen las aportaciones de los participantes en el Seminario de Investigación del Centro Universitario de Ciencias Económico Administrativas (CUCEA) y de Jaime Ros. Cualquier error presente es responsabilidad exclusiva de los autores. Alejandro Islas Camargo quisiera reconocer el apoyo brindado por la Asociación Cultural Mexicana y por el Consejo Nacional de Ciencia y Tecnología (CONACYT) a través de su programa de becas sabáticas. El presente estudio fue realizado mientras Alejandro Islas Camargo visitaba

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Trend estimation of multivariate time series with controlled smoothness

Cited by 5 publications

References 22 publications

Can the informal sector affect the relationship between unemployment and output? An analysis of the Mexican case

Can the informal sector affect the relationship between unemployment and output? An analysis of the Mexican case

Trend estimation and forecasting of atmospheric pollutants in the Mexico City Metropolitan Area through a non-parametric perspective

¿Puede el sector informal afectar a la relación entre desempleo y producción? Un análisis del caso de México

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