Nowcasting Mexico's quarterly GDP using factor models and bridge equations

  • Oscar de J. Gálvez-Soriano Banco de México/University of Houston
Keywords: forecasting, state space model, principal component analysis, monetary policy, Kalman filter, Diebold-Mariano test
JEL Classification: C32, C38, C53, E52

Abstract

I evaluate five nowcasting models that I used to forecast Mexico’s quarterly GDP in the short run: a dynamic factor model (DFM), two bridge equation (BE) models and two models based on principal components analysis (PCA). The results indicate that the average of the two BE forecastsis statistically better than the rest of the models under consideration, according to the Diebold-Mariano accuracy test. Using realtime information, I show that the average of the BE models is also more accurate than the median of the forecasts provided by the analysts surveyed by Bloomberg, the median of the experts who answer Banco de México’s Survey of Professional Forecasters and the rapid GDP estimate released by INEGI.

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DATA SOURCES

AMIA. Statistic Information. Retrieved from: http://www.amia.com.mx/prodtot.html.

ANTAD. Information Release (Comunicado de Prensa ANTAD). Retrieved from:https://antad.net/indicadores/comunicado-de-prensa/.

Banco de México. Economic Information System (Sistema de Información Económica, SIE). Retrieved from: https://www.banxico.org.mx/SieInternet/.

Banco de México. Survey of Professional Forecasters (Encuestas sobre las expectativas de los especialistas en economía del sector privado). Retrieved from(Encuestas): https://www.banxico.org.mx/SieInternet/.

Bloomberg. Forecasts of quarterly Mexican GDP. Retrieved from (BloombergTerminal): https://www.bloomberg.com/professional/solution/bloomberg-terminal/.

CFE. Statistic Information. Retrieved from: https://datos.gob.mx.

Federal Reserve Bank. Data. Retrieved from: https://www.federalreserve.gov/data.

INEGI. Economic Information Repository (Banco de Información Económica).Retrieved from: https://www.inegi.org.mx/sistemas/bie/.

Pemex. Statistic Information. Retrieved from: https://datos.gob.mx.

Sectur. Statistic Information (DataTur). Retrieved from: https://datatur.sectur.gob.mx/.

Published
01-07-2020
How to Cite
Gálvez-SorianoO. (2020). Nowcasting Mexico’s quarterly GDP using factor models and bridge equations. Estudios Económicos, 35(2), 213-265. https://doi.org/10.24201/ee.v35i2.402
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