Do coincident indicators have one-factor structure?
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Bibliographic InfoArticle provided by Springer in its journal Empirical Economics.
Volume (Year): 36 (2009)
Issue (Month): 2 (May)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"New Indexes of Coincident and Leading Economic Indicators,"
in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409
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"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
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877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
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- Hansen, Bruce E, 1992. "Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes," Econometrica, Econometric Society, vol. 60(4), pages 967-72, July.
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"Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices,"
Econometric Society, vol. 68(2), pages 407-424, March.
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- Aigner, Dennis J. & Hsiao, Cheng & Kapteyn, Arie & Wansbeek, Tom, 1984. "Latent variable models in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 23, pages 1321-1393 Elsevier.
- Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
- Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W., 2002.
"Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence,"
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Elsevier, vol. 107(1-2), pages 213-233, March.
- Allan W. Gregory & Jean-Francois Lamarche & Gregor W. Smith, 2001. "Information-Theoretic Estimation of Preference Parameters: Macroeconomic Applications and Simulation Evidence," Working Papers 1249, Queen's University, Department of Economics.
- Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
- Jansson, Michael, 2002. "Consistent Covariance Matrix Estimation For Linear Processes," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1449-1459, December.
- James Davidson & Robert M. De Jong, 2002. "Consistency of kernel variance estimators for sums of semiparametric linear processes," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 160-175, June.
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