Publication:
Remittances in Mexico and their unobserved components

dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorCorona, Francisco
dc.contributor.authorOrraca, Pedro
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.date.accessioned2016-04-06T13:00:57Z
dc.date.available2016-04-06T13:00:57Z
dc.date.issued2016-04
dc.description.abstractThe present study aims to determine the common trends and the permanent and transitory components of remittances received by Mexican households. This is done by estimating a small Dynamic Factor Model (DFM), using the approach first proposed by Gonzalo and Granger (1995), determining the number of common trends subject to the cointegration results. The study also shows the similarities between this small DFM with respect to large DFM, which are widely used in the econometric literature. The results indicate the presence of one cointegration relationship. Consequently, there are four common trends. These common factors are negatively dominated by Mexico's economic activity and positively by the U.S. industrial production. The effects of the exchange rate and the U.S. unemployment rate are positive, but less relevant. This economic scenario leads to remittances exceeding its permanent componenten
dc.format.mimetypeapplication/pdf
dc.identifier.issn2387-0303
dc.identifier.urihttps://hdl.handle.net/10016/22674
dc.language.isoengen
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricsen
dc.relation.ispartofseries16-04
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEstadística
dc.subject.jelC38
dc.subject.jelF24
dc.subject.jelF44
dc.subject.otherRemittancesen
dc.subject.otherP-T decompositionen
dc.subject.otherDynamic Factor Modelsen
dc.titleRemittances in Mexico and their unobserved componentsen
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
ws201604.pdf
Size:
701.63 KB
Format:
Adobe Portable Document Format