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Building smooth indicators nearly free of end-of-sample revisions

Author

Listed:
  • Claudia Cicconi

    (ISAE - Institute for Studies and Economic Analyses)

Abstract

Aim of this paper is the construction of smooth indicator of the Italian industrial production index providing reliable end-of-sample information. Traditional smooth indicators are obtained using univariate filtering procedures based on symmetric or asymmetric filters inducing serious revisions. Here, the smoothing is obtained by exploiting the information embedded in the crosssectional dimension which allows to use a very narrow window, reducing the need for revisions at the end of the sample. As a by-product, we also obtained a smooth composite leading indicator of the industrial sector, based on eleven selected leading sectors.

Suggested Citation

  • Claudia Cicconi, 2005. "Building smooth indicators nearly free of end-of-sample revisions," ISAE Working Papers 49, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  • Handle: RePEc:isa:wpaper:49
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    More about this item

    Keywords

    dynamic factor models; multivariate filtering; cyclical indicators; end-of-sample revisions.;

    JEL classification:

    • 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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