A new coincident index of business cycles based on monthly and quarterly series
Top Cited Papers
- 22 October 2002
- journal article
- research article
- Published by Wiley in Journal of Applied Econometrics
- Vol. 18 (4) , 427-443
- https://doi.org/10.1002/jae.695
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. Copyright © 2002 John Wiley & Sons, Ltd.This publication has 11 references indexed in Scilit:
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