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A Dynamic Factor Model Of Economic Activity In Hong Kong

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  • Stefan Gerlach
  • MatthewS. Yiu

Abstract

This paper applies the single-index dynamic factor model developed by J. H. Stock and M. W. Watson to construct (almost) real-time estimates of economic activity in Hong Kong. The Hang Seng index, a residential property price index, retail sales and total exports are used as coincident indicators. Principal component analysis is first used to obtain an impression of the common component of the indicator series. This component and the dynamic factor identified by the Stock-Watson methodology are strongly correlated and seem to capture economic fluctuations in Hong Kong reasonably well. Copyright 2005 Blackwell Publishing Ltd

Suggested Citation

  • Stefan Gerlach & MatthewS. Yiu, 2005. "A Dynamic Factor Model Of Economic Activity In Hong Kong," Pacific Economic Review, Wiley Blackwell, vol. 10(2), pages 279-292, June.
  • Handle: RePEc:bla:pacecr:v:10:y:2005:i:2:p:279-292
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    Cited by:

    1. Christian Schulz, 2007. "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers 2007-09, Bank of Estonia, revised 04 Sep 2007.
    2. Christian Schulz, 2008. "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers 2008-02, Bank of Estonia, revised 30 Oct 2008.

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