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タイトル: | A New Coincident Index of Business Cycles Based on Monthly and Quarterly Series |
著者: | Mariano, Roberto S. Murasawa, Yasutomo |
発行日: | Aug-2000 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 518 |
抄録: | Maximum likelihood factor analysis of time series is possible even when some series are quarterly and others are monthly. Treating quarterly series as monthly series with missing observations and replacing them with artificial observations independent of the model parameters, one can apply the Kalman filter to a state-space representation of a factor model and evaluate the likelihood function. An application to quarterly real GDP and monthly coincident business cycle indicators gives a new coincident index of business cycles. The new index is essentially the smoothed estimate of latent monthly real GDP and should improve upon the Stock-Watson index. |
URI: | http://hdl.handle.net/2433/129501 |
出現コレクション: | KIER Discussion Paper (英文版) |
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