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

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

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    1. 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.
    2. Carlino Gerald & Defina Robert, 1995. "Regional Income Dynamics," Journal of Urban Economics, Elsevier, vol. 37(1), pages 88-106, January.
    3. 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.
    4. Coulson N. Edward & Rushen Steven F., 1995. "Sources of Fluctuations in the Boston Economy," Journal of Urban Economics, Elsevier, vol. 38(1), pages 74-93, July.
    5. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
    6. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
    7. Coulson, N. Edward, 1999. "Sectoral sources of metropolitan growth," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 723-743, November.
    8. 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.
    9. Theodore M. Crone & Alan Clayton-Matthews, 2004. "Consistent economic indexes for the 50 states," Working Papers 04-9, Federal Reserve Bank of Philadelphia.
    10. 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.
    11. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, octubre-d.
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    13. 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.
    14. Danny Quah, 1996. "Aggregate and Regional Disaggregate Fluctuations," CEP Discussion Papers dp0275, Centre for Economic Performance, LSE.
    15. Keith R. Phillips, 2004. "A new monthly index of the Texas business cycle," Working Papers 0401, Federal Reserve Bank of Dallas.
    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. 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.
    18. Quah, Danny T, 1996. "Aggregate and Regional Disaggregate Fluctuations," Empirical Economics, Springer, vol. 21(1), pages 137-59.
    19. 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.
    20. 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).
    21. 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.
    22. 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.
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