Constructing a Coincident Index of Business Cycles without Assuming a One-Factor Model

• 主要作者: Mariano, Roberto S.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2004
• 主題: Econometrics
• 在線閱讀: https://ink.library.smu.edu.sg/soe_research/797; http://econpapers.repec.org/paper/siuwpaper/22-2004.htm
• 機構: Singapore Management University

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...