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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.

Suggested Citation

  • Kajal Lahiri & Wenxiong Yao, 2004. "A dynamic factor model of the coincident indicators for the US transportation sector," Applied Economics Letters, Taylor & Francis Journals, vol. 11(10), pages 595-600.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:10:p:595-600
    DOI: 10.1080/1350485042000271125
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    References listed on IDEAS

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    1. Feenberg, Daniel & Miron, Jeffrey A, 1997. "Improving the Accessibility of the NBER's Historical Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 293-299, July.
    2. Humphreys, Brad R. & Maccini, Louis J. & Schuh, Scott, 2001. "Input and output inventories," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 347-375, April.
    3. 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.
    4. 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 379-386, July.
    5. 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 357-384, March.
    6. Zarnowitz, Victor, 1992. "Business Cycles," National Bureau of Economic Research Books, University of Chicago Press, number 9780226978901, May.
    7. 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.
    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. 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.
    10. 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.
    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. 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, April.
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    Cited by:

    1. repec:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1158-5 is not listed on IDEAS
    2. Jason Angelopoulos & Costas I. Chlomoudis, 2017. "A Generalized Dynamic Factor Model for the U.S. Port Sector," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(1), pages 22-37, January-M.
    3. 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.
    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.
    5. Francisco Corona & Pilar Poncela & Esther Ruiz, 2017. "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
    6. 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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    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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