• Mathematics
  • Published 2000

Reference Cycles: The NBER Methodology Revisited

@inproceedings{Forni2000ReferenceCT,
  title={Reference Cycles: The NBER Methodology Revisited},
  author={Mario Forni and Marc Hallin and Marco Lippi and Lucrezia Reichlin},
  year={2000}
}
This paper proposes a new way to compute a coincident and a leading index of economic activity. The method provides a unified approach for the selection of the coincident and the leading variables, for averaging them into coincident and leading indexes and for the identification of turning points. The statistical framework we propose reconciles dynamic principal components analysis wit dynamic factor analysis. We use our procedure to estimate coincident and leading indexes for the EMU area as… CONTINUE READING

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