Publication Type

Journal Article

Publication Date

2003

Abstract

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 indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock-Watson coincident index by applying maximum likelihood factor analysis to a mixed-frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP. [PUBLICATION ABSTRACT]

Discipline

Econometrics | Finance

Research Areas

Econometrics

Publication

Journal of Applied Econometrics

Volume

18

Issue

4

First Page

427

Last Page

443

ISSN

0883-7252

Publisher

Wiley

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://proquest.umi.com/pqdweb?did=416807661&sid=9&Fmt=2&clientId=44274&RQT=309&VName=PQD

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