Resumen de Modelado y predicción de la tasa de interés interbancaria de equilibrio en México vía un proceso auto-recursivo de orden uno

Víctor Vázquez, Hugo Cruz, Hortensia Reyes, Bulmaro Juárez, Francisco Solano Macías

• Via an auto-recursive process of order one some forecasts of the equilibrium interbancary rate of interest in Mexico are presented. Before doing such forecast we analize the Durbin-Watson statistic in order to eliminate the possibility of a correlation of order one in the driven noise. Finally, from the martingale theory we present estimations of the unknown parameters of the model.