The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity

DOI10.1016/J.JECONOM.2005.01.031MaRDI QIDQ291644zbMATH OpenOpenAlexFDO

Authors João Victor Issler, Farshid Vahid

Publication date 10 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10438/652

zbMATH Keywords

business cyclecanonical correlationcoincident and leading indicatorsencompassinginstrumental variable probit

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
• Chapter 1 Dating Business Cycle Turning Points
• Dynamic Factor Analysis with Non-Linear Temporal Aggregation Constraints
• Choosing a dynamic common factor as a coincident index
• Signaling NBER turning points: a sequential approach

Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3605818 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Codependent cycles
• Forecasting turning points in countries' output growth rates: A response to Milton Friedman
• Limited information estimators and exogeneity tests for simultaneous probit models
• RELATIONS BETWEEN TWO SETS OF VARIATES
• Testing multiple equation systems for common nonlinear components
• Threshold Cointegration

Cited in

(7)

• A coincident index for the state of the economy
• An observation regarding Hamilton's recent criticisms of Kilian's global real economic activity index
• FORECASTING BUSINESS CYCLES USING DEVIATIONS FROM LONG-RUN ECONOMIC RELATIONSHIPS
• scientific article; zbMATH DE number 1525124 (Why is no real title available?)
• Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
• The term spread as a monthly cyclical indicator: An evaluation
• A panel data approach to economic forecasting: the bias-corrected average forecast

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