Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097621 | Journal of Econometrics | 2006 | 23 Pages |
Abstract
We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming that the coincident variables have a common cycle with the unobserved state of the economy, and that the NBER business cycle dates signify the turning points in the unobserved state. This model allows us to estimate our coincident index as a linear combination of the coincident series. We compare the performance of our index with other currently popular coincident indices of economic activity.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
João Victor Issler, Farshid Vahid,