Sarabia, Arturo Antón - In: Economía Mexicana NUEVA ÉPOCA XIX (2010) 1, pp. 5-29
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...