Artículos
Suavizamiento conjunto del PIB y la tasa de desempleo con un filtro HP bivariado
Publicado 2019-01-01
Palabras clave
- ciclo de negocios,
- correlación,
- desempleo cíclico,
- extracción de señal,
- índice de suavidad
Cómo citar
Islas, A., & Guerrero, V. M. (2019). Suavizamiento conjunto del PIB y la tasa de desempleo con un filtro HP bivariado. Estudios Económicos De El Colegio De México, 34(1), 3–24. https://doi.org/10.24201/ee.v34i1.362
Resumen
Se considera el problema de estimar conjuntamente las tendencias y los ciclos no observables de una serie de tiempo bivariada, en el contexto macroeconómico de la Ley de Okun, para relacionar las brechas del producto y la tasa de desempleo. La estimación se realiza con un filtro de Hodrick-Prescott bivariado que estima simultáneamente la correlación entre los ciclos. La contribución principal de este enfoque es que se puede controlar la suavidad de las tendencias al fijar un parámetro de suavizamiento en forma apropiada. La ilustración empírica utiliza datos del PIB y de la tasa de desempleo de Estados Unidos.
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Citas
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