Constructing a Coincident Index of Business Cycles without Assuming a One-Factor Model
The Stock–Watson coincident index and its subsequent extensions assume a static linear one-factor structure for the component indicators. Such assumption is restrictive in practice, however, with as few as four indicators. In fact, such assumption is unnecessary if one defines a coincident index as...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2004
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/797 http://econpapers.repec.org/paper/siuwpaper/22-2004.htm |
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| Institution: | Singapore Management University |
| Language: | English |