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

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  • Kajal Lahiri
  • Wenxiong Yao

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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Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 10 ()
Pages: 595-600

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Handle: RePEc:taf:apeclt:v:11:y:2004:i:10:p:595-600
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  • E00 - Macroeconomics and Monetary Economics - - General - - - General

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  1. 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.
  2. Brad R. Humphreys & Louis J. Maccini & Scott Schuh, 1997. "Input and output inventories," Working Papers 97-7, Federal Reserve Bank of Boston.
  3. Daniel Feenberg & Jeffrey A. Miron, 1995. "Improving the Accessibility of the NBER's Historical Data," Macroeconomics 9507001, EconWPA.
  4. 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.
  5. 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.
  6. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  7. Robert J. Gordon, 1991. "Productivity in the Transportation Sector," NBER Working Papers 3815, National Bureau of Economic Research, Inc.
  8. Zarnowitz, Victor, 1992. "Business Cycles," National Bureau of Economic Research Books, University of Chicago Press, number 9780226978901.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
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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).
  2. Dubrovsky, Valery & Yaroshevich, Natalya & Kuzmin, Evgeny, 2016. "Transactional approach in assessment of operational performance of companies in transport infrastructure," MPRA Paper 72001, University Library of Munich, Germany.
  3. Ruiz, Esther & Poncela, Maria Pilar & Corona, Francisco, 2016. "Determining the number of factors after stationary univariate transformations," DES - Working Papers. Statistics and Econometrics. WS ws1602, Universidad Carlos III de Madrid. Departamento de Estadística.
  4. Pankaj Maheshwari & Romesh Khaddar & Pushkin Kachroo & Alexander Paz, 2016. "Dynamic Modeling of Performance Indices for Planning of Sustainable Transportation Systems," Networks and Spatial Economics, Springer, vol. 16(1), pages 371-393, March.

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