Kholodilin, KA
Composite economic indicator is a very useful tool designed to trace and predict the business cycle conditions. This paper studies possible extensions of this approach intended to cope with the potential data problems caused by various structural breaks affecting both level and volatility of the component series. The structural shifts are introduced in the composite economic indicator model via deterministic dummies capturing breaks in the observed variables' intercepts and in the residual variances of the specific factors. As an illustration the Post-Second World War US monthly macroeconomic series are utilized for which different specifications of the single-factor linear and regime-switching model are evaluated.
- Andrews Donald W. K., Tests for Parameter Instability and Structural Change With Unknown Change Point, 10.2307/2951764
- Chauvet Marcelle, An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching, 10.2307/2527348
- Chauvet Marcelle, Potter Simon, Recent Changes in the US Business Cycle, 10.1111/1467-9957.00266
- Diebold F. X., A size comparison of analytic and bootstrap procedures, Journal of Econometrics, 70, 221 (1996)
- Diebold F. X., Comparing predictive accuracy (1994)
- Diebold Francis X., Rudebusch Glenn D., Scoring the Leading Indicators, 10.1086/296467
- Kim Chang-Jin, Dynamic linear models with Markov-switching, 10.1016/0304-4076(94)90036-1
- Kim C.-J., State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications (1999)
- Krane Spencer, Wascher William, The cyclical sensitivity of seasonality in U.S. employment, 10.1016/s0304-3932(99)00036-7
- McConnell Margaret M, Perez-Quiros Gabriel, Output Fluctuations in the United States: What Has Changed Since the Early 1980's?, 10.1257/aer.90.5.1464
- Stock J. H., A probability model of the coincident economic indicators (1988)
- Stock J. H., NBER Macroeconomics Annual (1989)
- Stock James, Watson Mark, A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience, 10.3386/w4014
Bibliographic reference |
Kholodilin, KA. US composite economic indicator with nonlinear dynamics and the data subject to structural breaks. In: Applied Economics Letters, Vol. 10, no. 6, p. 363-372 (2003) |
Permanent URL |
http://hdl.handle.net/2078.1/41416 |