<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>In this article, we present a new approach based on dynamic factor models (DFMs) to perform accurate nowcasts for the percentage annual variation of the Mexican Global Economic Activity Indicator (IGAE), the commonly used variable as an approximation of monthly GDP. The procedure exploits the contemporaneous relationship of the timely traditional macroeconomic time series and nontraditional variables as Google Trends with respect to the IGAE. We evaluate the performance of the approach in a pseudo real-time framework, which includes the pandemic of COVID-19, and conclude that the procedure obtains accurate estimates, for one and two-steps ahead, above all, given the use of Google Trends. Another contribution for economic nowcasting is that the approach allows to disentangle the key variables in the DFM by estimating the confidence interval for the factor loadings, hence allows to evaluate the statistical significance of the variables in the DFM. This approach is used in official statistics to obtain preliminary and accurate estimates for IGAE up to 40 days before the official data release.</p>
</abstract>

In this article, we present a new approach based on dynamic factor models (DFMs) to perform accurate nowcasts for the percentage annual variation of the Mexican Global Economic Activity Indicator (IGAE), the commonly used variable as an approximation of monthly GDP. The procedure exploits the contemporaneous relationship of the timely traditional macroeconomic time series and nontraditional variables as Google Trends with respect to the IGAE. We evaluate the performance of the approach in a pseudo real-time framework, which includes the pandemic of COVID-19, and conclude that the procedure obtains accurate estimates, for one and two-steps ahead, above all, given the use of Google Trends. Another contribution for economic nowcasting is that the approach allows to disentangle the key variables in the DFM by estimating the confidence interval for the factor loadings, hence allows to evaluate the statistical significance of the variables in the DFM. This approach is used in official statistics to obtain preliminary and accurate estimates for IGAE up to 40 days before the official data release.

Timely Estimates of the Monthly Mexican Economic Activity

Journal of Official Statistics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Timely Estimates of the Monthly Mexican Economic Activity"}

In this article, we present a new approach based on dynamic factor models (DFMs) to perform accurate nowcasts for the percentage annual variation of the...

Timely Estimates of the Monthly Mexican Economic Activity

Publié en ligne: 12 sept. 2022

Pages: 733 - 765

Reçu: 01 oct. 2021

Accepté: 01 mai 2022

DOI: https://doi.org/10.2478/jos-2022-0033

Mots clés
Dynamic factor models, global mexican economic activity indicator, google trends, nowcasts, pseudo real-time

© 2022 Francisco Corona et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Timely Estimates of the Monthly Mexican Economic Activity

Publié en ligne: 12 sept. 2022

Pages: 733 - 765

Reçu: 01 oct. 2021

Accepté: 01 mai 2022

DOI: https://doi.org/10.2478/jos-2022-0033

Mots clésDynamic factor models, global mexican economic activity indicator, google trends, nowcasts, pseudo real-time

© 2022 Francisco Corona et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
Dynamic factor models, global mexican economic activity indicator, google trends, nowcasts, pseudo real-time