The coincident and the leading business cycle indicators for Poland
AbstractIn the paper, two indicators, the coincident and the leading indicator, are proposed to represent the aggregated economic activity in Poland. The indicators are constructed with stochastic cycle and trend model. Not only does the presented approach solve the problem of existence of stochastic trends in the observed series, but it also allows to account for a different data span of each series in dataset.
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Bibliographic InfoPaper provided by Faculty of Economic Sciences, University of Warsaw in its series Working Papers with number 2011-01.
Length: 12 pages
Date of creation: 2011
Date of revision:
business cycles; leading indicators; coincident indicators; dynamic factor model; stochastic cycle; stochastic trend;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-23 (All new papers)
- NEP-BEC-2011-01-23 (Business Economics)
- NEP-MAC-2011-01-23 (Macroeconomics)
- NEP-TRA-2011-01-23 (Transition Economics)
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