The DOI matches its Crossref record; 19 of the 19 references it cites were found in a registry or an index.
A new coincident index of business cycles based on monthly and quarterly series
Open accessAbstract
Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock–Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock–Watson coincident index by applying maximum likelihood factor analysis to a mixed‐frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP. Copyright © 2002 John Wiley & Sons, Ltd.
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Cites
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Time Series Analysis and Its Applications
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Cited by
Greco, S., Ishizaka, A., Tasiou, M., & Torrisi, G. (2019) · Social Indicators Research · doi:10.1007/s11205-017-1832-9 · Cited by 1,325
“…(e.g. the Business Climate Indicator, Relative Intensity of Regional Problems in the Community, and General Indicator of Science and Technology, see Saisana and Tarantola 2002) and can be found in several studies in the literature (Mariano and Murasawa 2003; Gupta 2008; Hermans et al.”
BackgroundNow-Casting and the Real-Time Data Flow
Bańbura, M., Giannone, D., Modugno, M., & Reichlin, L. (2013) · Handbook of Economic Forecasting · doi:10.1016/b978-0-444-53683-9.00004-9 · Cited by 448
(2016) · Handbook of Macroeconomics · doi:10.1016/bs.hesmac.2016.04.002 · Cited by 428
Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises
Scotti, C. (2016) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2016.06.002 · Cited by 339
Should Macroeconomic Forecasters Use Daily Financial Data and How?
Andreou, E., Ghysels, E., & Kourtellos, A. (2013) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2013.767199 · Cited by 331
Metadata
- Authors
- Mariano, R. S., & Murasawa, Y.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 2002-10-22
- Volume
- 18
- Issue
- 4
- Pages
- 427-443
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W1515971793
- Cited by
- 631
- References
- 19
- FWCI
- 9.81
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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