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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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2004
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/986 |
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