Citation

Discussion Paper Details

Please find the details for DP2400 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Reference Cycles: The NBER Methodology Revisited

Author(s): Mario Forni, Marc Hallin, Marco Lippi and Lucrezia Reichlin

Publication Date: March 2000

Keyword(s): Coincident And Leading Indicators, Dynamic Factor Models and Dynamic Principal Components Series

Programme Area(s): International Macroeconomics

Abstract: 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 well as country-specific indexes. Unlike other methods used in the literature, the country indexes take into consideration the cross-country as well as the within-country correlation structure.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=2400

Bibliographic Reference

Forni, M, Hallin, M, Lippi, M and Reichlin, L. 2000. 'Reference Cycles: The NBER Methodology Revisited'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=2400