The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity

Detalhes bibliográficos
Autor(a) principal: Issler, João Victor
Data de Publicação: 2002
Outros Autores: Vahid, Farshid
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/652
Resumo: We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming that the coincident variables have a common cycle with the unobserved state of the economy, and that the NBER business cycle dates signify the turning points in the unobserved state. This model allows us to estimate our coincident index as a linear combination of the coincident series. We establish that our index performs better than other currently popular coincident indices of economic activity.
id FGV_734be244f768a045edefbf3b335a1098
oai_identifier_str oai:repositorio.fgv.br:10438/652
network_acronym_str FGV
network_name_str Repositório Institucional do FGV (FGV Repositório Digital)
repository_id_str 3974
spelling Issler, João VictorVahid, FarshidEscolas::EPGEFGV2008-05-13T15:29:16Z2010-09-23T18:56:49Z2008-05-13T15:29:16Z2010-09-23T18:56:49Z2002-05-010104-8910http://hdl.handle.net/10438/652We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming that the coincident variables have a common cycle with the unobserved state of the economy, and that the NBER business cycle dates signify the turning points in the unobserved state. This model allows us to estimate our coincident index as a linear combination of the coincident series. We establish that our index performs better than other currently popular coincident indices of economic activity.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;445Coincident and leading indicatorsBusiness cycleCanonical correlationInstrumental variable probitEncompassingEconomiaEconomiaCiclos econômicosIndicadores econômicosThe missing link: using the NBER recession indicator to construct coincident and leading indices economic activityinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL1295.pdf.jpg1295.pdf.jpgGenerated Thumbnailimage/jpeg4337https://repositorio.fgv.br/bitstreams/82f61547-ea30-432a-b167-c94a80a520e2/downloadbb00de728979c0bdb2928d2873347e8dMD58ORIGINAL1295.pdfapplication/pdf480025https://repositorio.fgv.br/bitstreams/6ffd1dda-bf23-4201-99a4-bedc1388bc10/downloadef74cadfc3f276365d7877a599e692e1MD52TEXT1295.pdf.txt1295.pdf.txtExtracted texttext/plain64858https://repositorio.fgv.br/bitstreams/78ae2481-b8e1-468c-8272-865a68e895e3/download75c643d5c7615f8b0ba698996841579eMD5710438/6522023-11-09 15:37:45.557open.accessoai:repositorio.fgv.br:10438/652https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T15:37:45Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
title The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
spellingShingle The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
Issler, João Victor
Coincident and leading indicators
Business cycle
Canonical correlation
Instrumental variable probit
Encompassing
Economia
Economia
Ciclos econômicos
Indicadores econômicos
title_short The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
title_full The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
title_fullStr The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
title_full_unstemmed The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
title_sort The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
author Issler, João Victor
author_facet Issler, João Victor
Vahid, Farshid
author_role author
author2 Vahid, Farshid
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Issler, João Victor
Vahid, Farshid
dc.subject.eng.fl_str_mv Coincident and leading indicators
Business cycle
Canonical correlation
Instrumental variable probit
Encompassing
topic Coincident and leading indicators
Business cycle
Canonical correlation
Instrumental variable probit
Encompassing
Economia
Economia
Ciclos econômicos
Indicadores econômicos
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Economia
Ciclos econômicos
Indicadores econômicos
description We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming that the coincident variables have a common cycle with the unobserved state of the economy, and that the NBER business cycle dates signify the turning points in the unobserved state. This model allows us to estimate our coincident index as a linear combination of the coincident series. We establish that our index performs better than other currently popular coincident indices of economic activity.
publishDate 2002
dc.date.issued.fl_str_mv 2002-05-01
dc.date.accessioned.fl_str_mv 2008-05-13T15:29:16Z
2010-09-23T18:56:49Z
dc.date.available.fl_str_mv 2008-05-13T15:29:16Z
2010-09-23T18:56:49Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/652
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/652
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;445
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
bitstream.url.fl_str_mv https://repositorio.fgv.br/bitstreams/82f61547-ea30-432a-b167-c94a80a520e2/download
https://repositorio.fgv.br/bitstreams/6ffd1dda-bf23-4201-99a4-bedc1388bc10/download
https://repositorio.fgv.br/bitstreams/78ae2481-b8e1-468c-8272-865a68e895e3/download
bitstream.checksum.fl_str_mv bb00de728979c0bdb2928d2873347e8d
ef74cadfc3f276365d7877a599e692e1
75c643d5c7615f8b0ba698996841579e
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
repository.name.fl_str_mv Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv
_version_ 1813797808254222336

Registros relacionados