Unobserved Leading and Coincident Common Factors in the Post-War U.S. Business Cycle
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References listed on IDEAS
- Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
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More about this item
Keywordsdynamic factor analysis; Markov switching; leading indicator; coincident indicator; Granger causality;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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