A quantitative look at the system of economic indicators
The Bureau of Economic Analysis (BEA) regularly publishes data on the current state and anticipated future of the domestic economy. This information is frequently used, mainly in a qualitative sense, by policymakers and other economic agents to assess the direction of economic activity. This paper examines the quantitative time interrelationships between the composite economic indicators. Specifically, crosscorrelations were computed from the white noise innovations from univariate ARIMA models and used to isolate, the delay behavior and directional relation between the series pairs. The correlations were also used to specify a multivariate time series model connecting the coincident and leading indexes of economic activity.
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