Rapid Estimates of Mexico’s Quarterly GDP

Abstract

This work presents ap rocedure for creating at imely estimation of Mexico’s quarterly GDP with the aid of Vector Auto-Regressive models. The estimates consider historical GDP data up to the previous quarter as well as the most recent figures available for two relevant indices of Mexican economic activity and other potential predictors of GDP. We obtain two timely estimates of the Grand Economic Activities and Total GDP. Their corresponding delays are at most 15 days and 30 days respectively from the end of the reference quarter, while the first official GDP figure is delayed 52 days. We follow ab ottom-up approach that imitates the official calculation procedure applied in Mexico. Empirical validation is carried out with both in-sample simulations and in real time. The mean error of the 30-day delayed estimate of total GDP is 0.13% and its root mean square error is 0.67%. These figures compare favorably with those of no-change models.