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Citations for "A Probability Model of The Coincident Economic Indicators"

by James H. Stock & Mark W. Watson

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  1. Issler, João Victor & Vahid, Farshid, 2002. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Economics Working Papers (Ensaios Economicos da EPGE) 445, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  2. William A. Barnett & Milka Kirova & Meenakshi Pasupathy & Piyu Yue, 1996. "Estimating Policy-Invariant Technology and Taste Parameters in the Financial Sector, When Risk and Growth Matter," Macroeconomics 9602002, EconWPA.
  3. Ludmila Fadejeva & Aleksejs Melihovs, 2008. "The Baltic states and Europe: common factors of economic activity," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 8(1), pages 75-96, October.
  4. Konstantin Kholodilin, 2001. "Latent Leading and Coincident Factors Model with Markov-Switching Dynamics," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-13.
  5. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
  6. Konstantin A. KHOLODILIN, 2001. "Markov-Switching Common Dynamic Factor Model with Mixed-Frequency Data," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001020, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  7. Jörg Polzehl & Vladimir Spokoiny & Catalin Starica, 2006. "When did the 2001 recession really start?," SFB 649 Discussion Papers SFB649DP2006-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  8. Michael F. Bryan & Stephen G. Cecchetti & Roisin O'Sullivan, 2002. "Asset Prices in the Measurement of Inflation," NBER Working Papers 8700, National Bureau of Economic Research, Inc.
  9. Michael F. Bryan & Stephen G. Cecchetti, 1993. "The Consumer Price Index as a Measure of Inflation," NBER Working Papers 4505, National Bureau of Economic Research, Inc.
  10. Issler, João Victor & Notini, Hilton Hostalacio & Rodrigues, Claudia Fontoura, 2011. "Constructing coincident and leading indices of economic activity for the brazilian economy," Economics Working Papers (Ensaios Economicos da EPGE) 714, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  11. repec:ebl:ecbull:v:3:y:2002:i:5:p:1-15 is not listed on IDEAS
  12. Stefan Gerlach & Matthew S. Yiu, 2002. "Unobservable-Component Estimates of Output Gaps in Five Asian Economies," Working Papers 052002, Hong Kong Institute for Monetary Research.
  13. Leo Krippner & Leif Anders Thorsrud, 2009. "Forecasting New Zealand's economic growth using yield curve information," Reserve Bank of New Zealand Discussion Paper Series DP2009/18, Reserve Bank of New Zealand.
  14. Massimiliano Marcellino & Carlo A. Favero & Francesca Neglia, 2005. "Principal components at work: the empirical analysis of monetary policy with large data sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(5), pages 603-620.
  15. Michael ARTIS & Anindya BANERJEE & Massimiliano MARCELLINO, 2001. "Factor Forecasts for the UK," Economics Working Papers ECO2001/15, European University Institute.
  16. Cubadda, Gianluca & Hecq, Alain, 2003. "The Role of Common Cyclical Features for Coincident and Leading Indexes Building," Economics & Statistics Discussion Papers esdp03002, University of Molise, Dept. EGSeI.
  17. Gonzalo Echavarría M. & Wildo González P, 2011. "Un Modelo de Factores Dinámicos de Pequeña Escala para el Imacec," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 14(2), pages 109-118, August.
  18. Issler, João Victor & Notini, Hilton Hostalacio, 2013. "Estimating Brazilian Monthly GDP: a State-Space Approach," Economics Working Papers (Ensaios Economicos da EPGE) 740, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  19. Bruno Giancarlo & Edoardo Otranto, 2004. "Dating the Italian BUsiness Cycle: A Comparison of Procedures," ISAE Working Papers 41, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  20. Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques.
  21. Philip Rothman, . "Table of Contents, List of Contributors, and Introduction to NONLINEAR TIME SERIES ANALYSIS OF ECONOMIC AND FINANCIAL DATA, Kluwer Academic Press, edited," Working Papers 9812, East Carolina University, Department of Economics.
  22. Curran, Declan & Funke, Michael, 2006. "Taking the temperature – forecasting GDP growth for mainland China," BOFIT Discussion Papers 6/2006, Bank of Finland, Institute for Economies in Transition.
  23. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  24. Tommaso Proietti, 2006. "Temporal disaggregation by state space methods: Dynamic regression methods revisited," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
  25. Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics 0502011, EconWPA.
  26. George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, 03.
  27. Idrovo Aguirre, Byron & Caro S., Juan Carlos, 2008. "Indicadores de Actividad para la Inversión en Infraestructura y Vivienda
    [Economic indicators of Investment in Infrastructure and House]
    ," MPRA Paper 19368, University Library of Munich, Germany, revised 15 Jan 2009.
  28. Hansson, Jesper & Jansson, Per & Löf, Mårten, 2003. "Business Survey Data: Do They Help in Forecasting the Macro Economy?," Working Paper 84, National Institute of Economic Research.
  29. Vincent, BODART & Konstantin A., KHOLODILIN & Fati, SHADMAN-MEHTA, 2003. "Dating and Forecasting the Belgian Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  30. Renee Fry, 2004. "International demand and liquidity shocks in a SVAR model of the Australian economy," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 849-863.
  31. Allan P. Layton & Anirvan Banerji, 2001. "What Is A Recession?: A Reprise," School of Economics and Finance Discussion Papers and Working Papers Series 095, School of Economics and Finance, Queensland University of Technology.
  32. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005.
  33. Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
  34. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2004. "Forecasting Macroeconomic Variables for the Acceding Countries," Working Papers 260, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  35. Don Harding & Adrian Pagan, 1999. "Dissecting the Cycle," Melbourne Institute Working Paper Series wp1999n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  36. repec:ebl:ecbull:v:3:y:2002:i:20:p:1-20 is not listed on IDEAS
  37. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
  38. Konstantin A. Kholodilin, 2005. "Forecasting the Turns of German Business Cycle: Dynamic Bi-factor Model with Markov Switching," Discussion Papers of DIW Berlin 494, DIW Berlin, German Institute for Economic Research.
  39. Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2006. "Are European business cycles close enough to be just one?," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1687-1706.
  40. Matthieu Lemoine, 2005. "A model of the stochastic convergence between business cycles," Documents de Travail de l'OFCE 2005-05, Observatoire Francais des Conjonctures Economiques (OFCE).
  41. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  42. Mariano Matilla-Garcia, 2005. "A SVAR model for estimating core inflation in the Euro zone," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 149-154.
  43. Daniel Grenouilleau, 2004. "A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting," European Economy - Economic Papers 219, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  44. Luis Fernando Melo & Fabio H. Nieto & Carlos Esteban Posada & Yanneth Rocío Betancourt, 2001. "Un Índice Coincidente para la Actividad Económica Colombiana," BORRADORES DE ECONOMIA 003678, BANCO DE LA REPÚBLICA.
  45. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne.
  46. Hiranya Nath, 2004. "Relative importance of sectoral and aggregate sources of price changes," Applied Economics, Taylor & Francis Journals, vol. 36(16), pages 1781-1796.
  47. repec:fgv:epgrbe:v:67:n:1:a:4 is not listed on IDEAS
  48. Konstantin A. KHOLODILIN, 2002. "Unobserved Leading and Coincident Common Factors in the Post-War U.S. Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  49. Arturo Estrella & Anthony P. Rodrigues, 1998. "Consistent covariance matrix estimation in probit models with autocorrelated errors," Staff Reports 39, Federal Reserve Bank of New York.
  50. Konstantin A. Kholodilin, 2006. "Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies," Discussion Papers of DIW Berlin 554, DIW Berlin, German Institute for Economic Research.
  51. Juan Carlos Caro & Byron Idrovo, 2010. "Metodología para generar Indicadores de Actividad en Infraestructura y Vivienda," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 47(136), pages 273-303.
  52. Peter Backé & Christian Thimann & Olga Arratibel & Oscar Calvo-Gonzalez & Arnaud Mehl & Carolin Nerlich, 2004. "The acceding countries’ strategies towards ERM II and the adoption of the euro - an analytical review," Occasional Paper Series 10, European Central Bank.
  53. James H. Stock & Mark W. Watson, 1990. "Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988," NBER Working Papers 3376, National Bureau of Economic Research, Inc.
  54. E. Andersson & D. Bock & M. Frisen, 2006. "Some statistical aspects of methods for detection of turning points in business cycles," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(3), pages 257-278.
  55. Fabio H. Nieto, . "Identifiability of a Coincident Index Model for the Colombian Economy," Borradores de Economia 242, Banco de la Republica de Colombia.
  56. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 0036, European Central Bank.
  57. Luis Fernando Melo & Fabio Nieto & Mario Ramos, . "A Leading Index for the Colombian Economic Activity," Borradores de Economia 243, Banco de la Republica de Colombia.
  58. Francisco J. Goerlich-Gisbert, 1999. "Shocks agregados versus shocks sectoriales. Un análisis factorial dinámico," Investigaciones Economicas, Fundación SEPI, vol. 23(1), pages 27-53, January.
  59. Boriss Siliverstovs, 2010. "Assessing Predictive Content of the KOF Barometer in Real Time," KOF Working papers 10-249, KOF Swiss Economic Institute, ETH Zurich.
  60. Kajal Lahiri & Wenxiong Yao & Peg Young, 2003. "Cycles in the Transportation Sector and the Aggregate Economy," Discussion Papers 03-14, University at Albany, SUNY, Department of Economics.
  61. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc.
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