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Un Indicatore di Attività Economica per la Lombardia e per le Province di Milano e Pavia

  • Donatella Baiardi

    ()

    (Department of Economics and Quantitative Methods, University of Pavia)

  • Carluccio Bianchi

    ()

    (Department of Economics and Quantitative Methods, University of Pavia)

Registered author(s):

    This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component technique is first used to summarize the information contained in a large dataset in a limited number of common factors capable of capturing the main features of local business fluctuations. The EM (Expectation Maximization) algorithm then allows to compute the desired territorial indicators by taking into account the official annual data on regional GDP or provincial value-added growth.

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    File URL: http://economia.unipv.it/docs/dipeco/quad/ps/RePEc/pav/wpaper/q130.pdf
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    Paper provided by University of Pavia, Department of Economics and Quantitative Methods in its series Quaderni di Dipartimento with number 130.

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    Length: 31 pages
    Date of creation: Nov 2010
    Date of revision:
    Handle: RePEc:pav:wpaper:130
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    Web page: http://dipartimenti.unipv.eu/on-dip/epmq/Home.html

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    1. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
    2. Gerald Carlino & Keith Sill, 2001. "Regional Income Fluctuations: Common Trends And Common Cycles," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 446-456, August.
    3. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
    4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    5. Gerald Carlino & Robert DeFina, 1993. "Regional income dynamics," Working Papers 93-1, Federal Reserve Bank of Philadelphia.
    6. Altissimo, Filippo & Cristadoro, Riccardo & Forni, Mario & Lippi, Marco & Veronese, Giovanni, 2006. "New EuroCOIN: Tracking Economic Growth in Real Time," CEPR Discussion Papers 5633, C.E.P.R. Discussion Papers.
    7. Coulson, N.E. & Rushen, S.F., 1993. "Sources of Fluctuations in the Boston Economy," Papers 4-93-5, Pennsylvania State - Department of Economics.
    8. Forni, Mario, et al, 2001. "Coincident and Leading Indicators for the Euro Area," Economic Journal, Royal Economic Society, vol. 111(471), pages C62-85, May.
    9. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    10. Quah, Danny, 1995. "Aggregate and Regional Disaggregate Fluctuations," CEPR Discussion Papers 1236, C.E.P.R. Discussion Papers.
    11. Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Mario Forni & Marco Lippi & Lucrezia Reichlin & Giovanni Veronese, 2001. "A real time coincident indicator of the euro area business cycle," Temi di discussione (Economic working papers) 436, Bank of Italy, Economic Research and International Relations Area.
    12. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
    13. Theodore M. Crone & Alan Clayton-Matthews, 2004. "Consistent economic indexes for the 50 states," Working Papers 04-9, Federal Reserve Bank of Philadelphia.
    14. Coulson, N. Edward, 1999. "Sectoral sources of metropolitan growth," Regional Science and Urban Economics, Elsevier, vol. 29(6), pages 723-743, November.
    15. Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
    16. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
    17. Danny Quah, 1996. "Aggregate and Regional Disaggregate Fluctuations," CEP Discussion Papers dp0275, Centre for Economic Performance, LSE.
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