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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. Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics 0502011, EconWPA.
  2. 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.
  3. Issler, João Victor & Notini, Hilton Hostalacio, 2016. "Estimating Brazilian Monthly GDP: a State-Space Approach," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 70(1), March.
  4. repec:ebl:ecbull:v:3:y:2002:i:20:p:1-20 is not listed on IDEAS
  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. Ludmila Fadejeva & Aleksejs Melihovs, 2008. "The Baltic States and Europe: Common Factors of Economic Activity," Working Papers 2008/03, Latvijas Banka.
  7. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
  8. Fabio H. Nieto, "undated". "Identifiability of a Coincident Index Model for the Colombian Economy," Borradores de Economia 242, Banco de la Republica de Colombia.
  9. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc.
  10. repec:ebl:ecbull:v:3:y:2002:i:5:p:1-15 is not listed on IDEAS
  11. William Barnett & Milka Kirova & Meenakshi Pasupathy & Piyu Yue, 2012. "Estimating Policy-Invariant Technology and Taste Parameters in the Financial Sector, When Risk and Growth Matter," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201217, University of Kansas, Department of Economics, revised Sep 2012.
  12. Konstantin A. Kholodilin, 2007. "Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies," Money Macro and Finance (MMF) Research Group Conference 2006 13, Money Macro and Finance Research Group.
  13. 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.
  14. Daniel Grenouilleau, 2004. "A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting," European Economy - Economic Papers 2008 - 2015 219, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  15. 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.
  16. 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.
  17. 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).
  18. 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).
  19. Bhaduri, Saumitra & Gupta, Saurabh, 2015. "Understanding Investor behavior and it's implications on Capital Markets - The Indian Context," MPRA Paper 67948, University Library of Munich, Germany.
  20. 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.
  21. Issler, João Victor & Notini, Hilton Hostalácio & Rodrigues, Claudia Oliveira da 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).
  22. 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.
  23. 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.
  24. Michael Artis & Anindya Banerjee & Massimiliano Marcellino, "undated". "Factor forecasts for the UK," Working Papers 203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  25. 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.
  26. 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.
  27. Morana, Claudio, 2000. "Measuring core inflation in the euro area," Working Paper Series 0036, European Central Bank.
  28. 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.
  29. Benoit Bellone, 2004. "Une lecture probabiliste du cycle d’affaires américain," Econometrics 0407002, EconWPA, revised 28 Mar 2005.
  30. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
  31. Issler, João Victor & Vahid, Farshid, 2003. "The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity," Economics Working Papers (Ensaios Economicos da EPGE) 492, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  32. Boriss Siliverstovs, 2010. "Assessing Predictive Content of the KOF Barometer in Real Time," KOF Working papers 10-249, KOF Swiss Economic Institute, ETH Zurich.
  33. 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.
  34. Luis Fernando Melo & Fabio Nieto & Mario Ramos V., 2003. "A Leading Index For The Colombian Economic Activity," BORRADORES DE ECONOMIA 001920, BANCO DE LA REPÚBLICA.
  35. 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).
  36. Gerlach, Stefan & Yiu, Matthew, 2002. "Unobservable-Components Estimates of Output Gaps in Five Asian Economies," CEPR Discussion Papers 3393, C.E.P.R. Discussion Papers.
  37. Philip Rothman, "undated". "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.
  38. 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.
  39. Issler, Joao Victor & Notini, Hilton & Rodrigues, Claudia & Soares, Ana Flávia, 2013. "Constructing coincident indices of economic activity for the Latin American economy," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 67(1), February.
  40. 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.
  41. 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.
  42. Michael F. Bryan & Stephen G. Cecchetti, 1993. "The consumer price index as a measure of inflation," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 15-24.
  43. Hansson, Jesper & Jansson, Per & Löf, Mårten, 2003. "Business Survey Data: Do They Help in Forecasting the Macro Economy?," Working Paper Series 151, Sveriges Riksbank (Central Bank of Sweden).
  44. Konstantin Kholodilin, 2001. "Latent Leading and Coincident Factors Model with Markov-Switching Dynamics," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-13.
  45. 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).
  46. 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.
  47. 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.
  48. Issler, J.V. & Vahid, F., 2001. "The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity," Monash Econometrics and Business Statistics Working Papers 9/01, Monash University, Department of Econometrics and Business Statistics.
  49. 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.
  50. 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.
  51. 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).
  52. 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.
  53. 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.
  54. 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.
  55. 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.
  56. Hiranya Nath, 2004. "Relative importance of sectoral and aggregate sources of price changes," Applied Economics, Taylor & Francis Journals, vol. 36(16), pages 1781-1796.
  57. 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.
  58. 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.
  59. Kapetanios, George & Marcellino, Massimiliano, 2006. "A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions," CEPR Discussion Papers 5620, C.E.P.R. Discussion Papers.
  60. 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.
  61. repec:fgv:epgrbe:v:67:n:1:a:4 is not listed on IDEAS
  62. 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.
  63. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne.
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