A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series

A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series

Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicator such as real GPD. Second, they lack economic interpretation; hence the heights of peaks and th...

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Bibliographic Details
Main Authors: Mariano, Roberto S., Murasawa, Yasutomo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2002
Subjects:
Factor analysis
Time series
Missing observation
State-space model
Kalman filter
Stock-Watson index
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/766
https://ink.library.smu.edu.sg/context/soe_research/article/1765/viewcontent/New_Coincident_Index.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/766
https://ink.library.smu.edu.sg/context/soe_research/article/1765/viewcontent/New_Coincident_Index.pdf

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