Un Indicatore per la Lombardia e per le Province di Milano e Pavia (Nuova versione)
AbstractThis 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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Bibliographic InfoPaper provided by University of Pavia, Department of Economics and Quantitative Methods in its series Quaderni di Dipartimento with number 158.
Length: 34 pages
Date of creation: Jan 2012
Date of revision:
Contact details of provider:
Postal: Via S. Felice, 5 - 27100 Pavia
Web page: http://dipartimenti.unipv.eu/on-dip/epmq/Home.html
More information through EDIRC
Coincident Economic Activity Indicators; Italian Regions; Diffusion Indexes;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-08 (All new papers)
- NEP-GEO-2012-03-08 (Economic Geography)
- NEP-MAC-2012-03-08 (Macroeconomics)
- NEP-TUR-2012-03-08 (Tourism Economics)
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.:
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