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A dynamic factor model of the coincident indicators for the US transportation sector

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  • Lahiri, Kajal
  • Yao, Wenxiong

Abstract

This paper studies the business cycle features of the transportation sector using dynamic factor models. The transportation reference cycles peak ahead of the economic cycles, but lag by a few months at troughs. The asymmetric relationship between these two suggests the usefulness of transportation in monitoring business cycles.

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File URL: http://mpra.ub.uni-muenchen.de/22360/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 22360.

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Date of creation: Aug 2004
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Publication status: Published in Applied Economics Letters 10.11(2004): pp. 595-600
Handle: RePEc:pra:mprapa:22360

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Keywords: dynamic factor model; coincident indicator; transportation sector;

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References

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  1. Kajal Lahiri & Wenxiong Yao, 2004. "The predictive power of an experimental transportation output index," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 149-152.
  2. Robert J. Gordon, 1992. "Productivity in the Transportation Sector," NBER Chapters, in: Output Measurement in the Service Sectors, pages 371-427 National Bureau of Economic Research, Inc.
  3. Brad R. Humphreys & Louis J. Maccini & Scott Schuh, 1997. "Input and output inventories," Working Papers 97-7, Federal Reserve Bank of Boston.
  4. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  5. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, June.
  6. Atish R. Ghosh & Holger C. Wolf, 1997. "Geographical and Sectoral Shocks in the U.S. Business Cycle," NBER Working Papers 6180, National Bureau of Economic Research, Inc.
  7. Daniel Feenberg & Jeffrey A. Miron, 1995. "Improving the Accessibility of the NBER's Historical Data," NBER Working Papers 5186, National Bureau of Economic Research, Inc.
  8. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  9. Layton, Allan P & Moore, Geoffrey H, 1989. "Leading Indicators for the Service Sector," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(3), pages 379-86, July.
  10. Zarnowitz, Victor, 1992. "Business Cycles," National Bureau of Economic Research Books, University of Chicago Press, number 9780226978901.
  11. Kajal Lahiri & Herman O. Stekler & Wenxiong Yao & Peg Young, 2003. "Monthly Output Index for the U.S. Transportation Sector," Discussion Papers 03-12, University at Albany, SUNY, Department of Economics.
  12. Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May.
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Cited by:
  1. Edwards, Seanicaa & Allen, Albert J. & Shaik, Saleem, 2006. "Market Structure Conduct Performance (SCP) Hypothesis Revisited using Stochastic Frontier Efficiency Analysis," 2006 Annual meeting, July 23-26, Long Beach, CA 21350, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

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