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Baynesian Leading Indicators: Measuring and Predicting Economic Conditions

  • Christopher Otrok

    (Univ. of Iowa)

  • Charles H. Whiteman

    (Univ. of Iowa)

This paper designs and implements a Bayesian dynamic latent factor model for a vector of data describing the Iowa economy. Posterior distributions of parameters and the latent factor are analyzed by Markov Chain Monte Carlo methods, and coincident and leading indicators are given by posterior mean values of current and predictive distributions for the latent factor.

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Paper provided by EconWPA in its series Macroeconomics with number 9610002.

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Length: 26 pages
Date of creation: 22 Oct 1996
Date of revision:
Handle: RePEc:wpa:wuwpma:9610002
Note: Zipped using PKZIP v2.04, encoded using UUENCODE v5.15. Zipped file includes 1 file --ui9614.wpa (MS Word file 26 pages)
Contact details of provider: Web page: http://128.118.178.162

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  1. John F. Geweke, 1995. "Posterior simulators in econometrics," Working Papers 555, Federal Reserve Bank of Minneapolis.
  2. James H. Stock & Mark W. Watson, 1992. "A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience," NBER Working Papers 4014, National Bureau of Economic Research, Inc.
  3. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
  4. Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
  5. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis.
  6. John Geweke, 1995. "Monte Carlo simulation and numerical integration," Staff Report 192, Federal Reserve Bank of Minneapolis.
  7. James H. Stock & Mark W. Watson, 1992. "A procedure for predicting recessions with leading indicators: econometric issues and recent performance," Working Paper Series, Macroeconomic Issues 92-7, Federal Reserve Bank of Chicago.
  8. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, December.
  9. Chib, Siddhartha & Greenberg, Edward, 1994. "Bayes inference in regression models with ARMA (p, q) errors," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 183-206.
  10. repec:cup:etheor:v:12:y:1996:i:3:p:409-31 is not listed on IDEAS
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