Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
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- Nii Ayi Armah & Norman Swanson, 2010. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 476-510.
- Norman R. Swanson & Nii Ayi Armah, 2011. "Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments," Departmental Working Papers 201105, Rutgers University, Department of Economics.
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More about this item
Keywords
Macroeconomics;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-11-04 (Econometrics)
- NEP-ETS-2008-11-04 (Econometric Time Series)
- NEP-MAC-2008-11-04 (Macroeconomics)
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