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A Leading Index For The Colombian Economic Activity

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Author Info
Luis Fernando Melo ()
Fabio Nieto ()
Mario Ramos V. ()

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Abstract

In this paper, we propose a methodology for calculating a leading index of the economic activity based on a modification of Stock and Watson’s (1989, 1991, 1992) approach. We use Kalman filter techniques for estimating the state space representation of the leading index model. The methodology is applied to the Colombian economy and the resulting index leads six months the Melo et al. (2002) coincident index (in semi-annual growth rates). As an intermediate result, we also develop an updating process of the coincident index.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 001920.

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Length: 57
Date of creation: 31 May 2003
Date of revision:
Handle: RePEc:col:000094:001920

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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.:
  1. Luis Fernando Melo & Fabio H.Nieto & Carlos Esteban Posada & Yaneth Rocío Betancourt & Juan David Barón, . "Un Indice Coincidente para la Actividad Económica Colombiana," Borradores de Economia 195, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  2. María Ripoll & Martha Misas & Enrique López, . "Una Descripción del Ciclo Industrial en Colombia," Borradores de Economia 033, Banco de la Republica de Colombia. [Downloadable!]
    Other versions:
  3. Altissimo, F. & Marchetti, D.J. & Oneto, G.P., 2000. "The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts," Papers 377, Banca Italia - Servizio di Studi.
  4. Filippo Altissimo & Domenico J. Marchetti & Gian Paolo Oneto, 2000. "The Italian Business Cycle; Coincident and Leading Indicators and Some Stylized Facts," Temi di discussione (Economic working papers) 377, Bank of Italy, Economic Research Department. [Downloadable!]
  5. Fabio H. Nieto, 2003. "Identifiability Of Acoincident Index Model For The Colombian Economy," BORRADORES DE ECONOMIA 002799, BANCO DE LA REPÚBLICA. [Downloadable!]
  6. Felipe Bravo & Helmut Franken, 2001. "Un Indicador Líder del IMACEC," Working Papers Central Bank of Chile 99, Central Bank of Chile. [Downloadable!]
  7. James H. Stock & Mark W. Watson, 1988. "A Probability Model of The Coincident Economic Indicators," NBER Working Papers 2772, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. PHILIP HANS FRANSES & BART HOBIJN,, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor and Francis Journals, vol. 24(1), pages 25-48, February. [Downloadable!] (restricted)
  9. Filippo Altissimo & Domenico J. Marchetti & Gian Paolo Oneto, 2000. "The Italian Business Cycle: Coincident and Leading Indicators and Some Stylized Facts," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 59(2), pages 147-220, September.
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  1. Luis Eduardo Arango & Luz Adriana Flórez, . "Expectativas de Actividad Económica en Colombia y Estructura a Plazo: Un Poco más de Evidencia," Borradores de Economia 302, Banco de la Republica de Colombia. [Downloadable!]
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