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Do coincident indicators have one-factor structure?

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  • Yasutomo Murasawa

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 36 (2009)
Issue (Month): 2 (May)
Pages: 339-365

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Handle: RePEc:spr:empeco:v:36:y:2009:i:2:p:339-365

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Keywords: Business cycle; Composite index; Factor analysis; Autocovariance structure; Minimum distance;

References

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  1. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre.
  2. Gregory, Allan W. & Lamarche, Jean-Francois & Smith, Gregor W., 2002. "Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence," Journal of Econometrics, Elsevier, Elsevier, vol. 107(1-2), pages 213-233, March.
  3. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 61(4), pages 631-53, October.
  4. Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
  5. Robert M. De Jong & James Davidson, 2000. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Econometrica, Econometric Society, Econometric Society, vol. 68(2), pages 407-424, March.
  6. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, Econometric Society, vol. 59(3), pages 817-58, May.
  7. Hansen, Bruce E, 1992. "Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes," Econometrica, Econometric Society, Econometric Society, vol. 60(4), pages 967-72, July.
  8. 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.
  9. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, Econometric Society, vol. 65(4), pages 861-874, July.
  10. Jansson, Michael, 2002. "Consistent Covariance Matrix Estimation For Linear Processes," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1449-1459, December.
  11. 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., John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
  12. Stock, James H. & Watson, Mark W., 2006. "Forecasting with Many Predictors," Handbook of Economic Forecasting, Elsevier, Elsevier.
  13. 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.
  14. Aigner, Dennis J. & Hsiao, Cheng & Kapteyn, Arie & Wansbeek, Tom, 1984. "Latent variable models in econometrics," Handbook of Econometrics, Elsevier, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 23, pages 1321-1393 Elsevier.
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