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A dynamic factor model of the coincident indicators for the US transportation sector

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  • Kajal Lahiri
  • Wenxiong Yao

Abstract

This paper studies the business cycle features of the transportation sector using dynamic factor models. The transportation reference cycles peak ahead of the economic cycles, but lag by a few months at troughs. The asymmetric relationship between these two suggests the usefulness of transportation in monitoring business cycles.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 10 ()
Pages: 595-600

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Handle: RePEc:taf:apeclt:v:11:y:2004:i:10:p:595-600

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  1. Daniel Feenberg & Jeffrey A. Miron, 1995. "Improving the Accessibility of the NBER's Historical Data," Macroeconomics, EconWPA 9507001, EconWPA.
  2. Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May.
  3. Brad R Humphreys & Louis J Maccini & Scott Schuh, 2000. "Input and Output Inventories," Economics Working Paper Archive 426, The Johns Hopkins University,Department of Economics.
  4. Kajal Lahiri & Herman O. Stekler & Wenxiong Yao & Peg Young, 2003. "Monthly Output Index for the U.S. Transportation Sector," Discussion Papers 03-12, University at Albany, SUNY, Department of Economics.
  5. Kajal Lahiri & Wenxiong Yao, 2004. "The predictive power of an experimental transportation output index," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(3), pages 149-152.
  6. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, Elsevier, vol. 49(2), pages 365-381, March.
  7. Robert J. Gordon, 1991. "Productivity in the Transportation Sector," NBER Working Papers 3815, National Bureau of Economic Research, Inc.
  8. Atish R. Ghosh & Holger C. Wolf, 1997. "Geographical and Sectoral Shocks in the U.S. Business Cycle," NBER Working Papers 6180, National Bureau of Economic Research, Inc.
  9. Zarnowitz, Victor, 1992. "Business Cycles," National Bureau of Economic Research Books, University of Chicago Press, number 9780226978901, March.
  10. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  11. Layton, Allan P & Moore, Geoffrey H, 1989. "Leading Indicators for the Service Sector," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 7(3), pages 379-86, July.
  12. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, October.
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Cited by:
  1. Edwards, Seanicaa & Allen, Albert J. & Shaik, Saleem, 2006. "Market Structure Conduct Performance (SCP) Hypothesis Revisited using Stochastic Frontier Efficiency Analysis," 2006 Annual meeting, July 23-26, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) 21350, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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