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Un Indicatore per la Lombardia e per le Province di Milano e Pavia (Nuova versione)

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Author Info

  • Donatella Baiardi

    ()
    (Department of Economics and Quantitative Methods, University of Pavia)

  • Carluccio Bianchi

    ()
    (Department of Economics and Quantitative Methods, University of Pavia)

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    Abstract

    This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the information contained in a large dataset in a limited number of common factors capable of capturing the main features of local business fluctuations. The EM (Expectation Maximization) algorithm then allows to compute the desired territorial indicators by taking into account the official annual data on regional GDP or provincial valueadded growth.

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    File URL: http://economia.unipv.it/docs/dipeco/quad/ps/RePEc/pav/wpaper/q158.pdf
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    Bibliographic Info

    Paper provided by University of Pavia, Department of Economics and Quantitative Methods in its series Quaderni di Dipartimento with number 158.

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    Length: 34 pages
    Date of creation: Jan 2012
    Date of revision:
    Handle: RePEc:pav:wpaper:158

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    Postal: Via S. Felice, 5 - 27100 Pavia
    Phone: +39/0382/506208
    Fax: +39/0382/304226
    Web page: http://dipartimenti.unipv.eu/on-dip/epmq/Home.html
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    Related research

    Keywords: Coincident Economic Activity Indicators; Italian Regions; Diffusion Indexes;

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    References

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    1. Theodore M. Crone & Alan Clayton-Matthews, 2004. "Consistent economic indexes for the 50 states," Working Papers 04-9, Federal Reserve Bank of Philadelphia.
    2. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
    3. Lucrezia Reichlin & Mario Forni & Marc Hallin & Marco Lippi, 2001. "Coincident and leading indicators for the Euro area," ULB Institutional Repository 2013/10137, ULB -- Universite Libre de Bruxelles.
    4. James Orr & Robert Rich & Rae Rosen, 1999. "Two new indexes offer a broad view of economic activity in the New York - New Jersey region," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 5(Oct).
    5. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
    6. Theodore M. Crone, 2000. "A new look at economic indexes for the states in the Third District," Business Review, Federal Reserve Bank of Philadelphia, issue Nov, pages 3-14.
    7. 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.
    8. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
    9. Danny Quah, 1996. "Aggregate and Regional Disaggregate Fluctuations," CEP Discussion Papers dp0275, Centre for Economic Performance, LSE.
    10. Carlino Gerald & Defina Robert, 1995. "Regional Income Dynamics," Journal of Urban Economics, Elsevier, vol. 37(1), pages 88-106, January.
    11. Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008. "New Eurocoin: Tracking Economic Growth in Real Time," Center for Economic Research (RECent) 020, University of Modena and Reggio E., Dept. of Economics.
    12. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
    13. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, May.
    14. Quah, Danny, 1995. "Aggregate and Regional Disaggregate Fluctuations," CEPR Discussion Papers 1236, C.E.P.R. Discussion Papers.
    15. Carolyn Sherwood-Call, 1988. "Exploring the relationships between national and regional economic fluctuations," Economic Review, Federal Reserve Bank of San Francisco, issue Sum, pages 15-25.
    16. Gerald Carlino & Keith Sill, 2001. "Regional Income Fluctuations: Common Trends And Common Cycles," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 446-456, August.
    17. Cecilia Frale & Massimiliano Marcellino & Gian Luigi Mazzi & Tommaso Proietti, 2011. "EUROMIND: a monthly indicator of the euro area economic conditions," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 174(2), pages 439-470, 04.
    18. Coulson, N.E. & Rushen, S.F., 1993. "Sources of Fluctuations in the Boston Economy," Papers 4-93-5, Pennsylvania State - Department of Economics.
    19. Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Mario Forni & Marco Lippi & Lucrezia Reichlin & Giovanni Veronese, 2001. "A real time coincident indicator of the euro area business cycle," Temi di discussione (Economic working papers) 436, Bank of Italy, Economic Research and International Relations Area.
    20. Coulson, N. Edward, 1999. "Sectoral sources of metropolitan growth," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 723-743, November.
    21. Keith R. Phillips, 2004. "A new monthly index of the Texas business cycle," Working Papers 0401, Federal Reserve Bank of Dallas.
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