About a Coincident Index for the State of the Economy
Abstract
The construction of coincident indexes for the economic activity of a country is a common practice since the fifties. The methodologies vary from heuristic methods to probabilistic or statistical ones. In this paper, we present a new procedure for estimating a coincident index of the state of the economy which is optimum in a statistical sense. This procedure is based on state space models that do possess the steady-state property. We apply our methodology for computing a coincident index for the Colombian economy.Download Info
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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 001938.Length: 32
Date of creation: 31 Dec 2001
Date of revision:
Handle: RePEc:col:000094:001938
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Keywords:Other versions of this item:
- Fabio H. Nieto & Luis Fernando Melo, . "About a Coincidente Index for the State of the Economy," Borradores de Economia 194, Banco de la Republica de Colombia.
References
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- Tom Doan, . "RATS program to estimate observable index model from Sargent-Sims(1977)," Statistical Software Components RTZ00126, Boston College Department of Economics.
- 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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