Building smooth indicators nearly free of end-of-sample revisions
AbstractAim of this paper is the construction of smooth indicator of the Italian industrial production index providing reliable end-of-sample information. Traditional smooth indicators are obtained using univariate filtering procedures based on symmetric or asymmetric filters inducing serious revisions. Here, the smoothing is obtained by exploiting the information embedded in the crosssectional dimension which allows to use a very narrow window, reducing the need for revisions at the end of the sample. As a by-product, we also obtained a smooth composite leading indicator of the industrial sector, based on eleven selected leading sectors.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 49.
Length: 27 pages
Date of creation: May 2005
Date of revision:
dynamic factor models; multivariate filtering; cyclical indicators; end-of-sample revisions.;
Find related papers by JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefania Rossetti).
If references are entirely missing, you can add them using this form.