Building smooth indicators nearly free of end-of-sample revisions
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Keywordsdynamic factor models; multivariate filtering; cyclical indicators; end-of-sample revisions.;
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- L60 - Industrial Organization - - Industry Studies: Manufacturing - - - General
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