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Choosing a dynamic common factor as a coincident index

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  • Martínez, Wilmer
  • Nieto, Fabio H.
  • Poncela, Pilar

Abstract

A methodology to compute a coincident index is presented. The procedure is based on the common factors of a set of indicator variables and a device that is termed coincident profile. Applications in economics and finance are included.

Suggested Citation

  • Martínez, Wilmer & Nieto, Fabio H. & Poncela, Pilar, 2016. "Choosing a dynamic common factor as a coincident index," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 89-98.
    • Handle: RePEc:eee:stapro:v:109:y:2016:i:c:p:89-98
    DOI: 10.1016/j.spl.2015.11.008
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    References listed on IDEAS

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    1. Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
    2. Luis Fernando Melo V. & Fabio H. Nieto & Carlos Esteban Posada P. & Yanneth Rocío Betancourt G. & Juan David Barón, 2001. "Un Índice Coincidente para la Actividad Económico de Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 19(40), pages 46-88, December.
    3. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
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    6. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
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    Cited by:

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    2. Rahman, Abdul & Khan, Muhammad Arshad & Charfeddine, Lanouar, 2021. "Regime-specific impact of financial reforms on economic growth in Pakistan," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 161-182.

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