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

Date

Authors

Vahid, Farshid

Issler, Joao

Publisher

Elsevier

Abstract

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

Keywords

Keywords: Industrial economics; Information theory; Mathematical models; Business cycle; Canonical correlation; Coincident and leading indicators; Encompassing; Instrumental variable probit; Economics Business cycle; Canonical correlation; Coincident and leading indicators; Encompassing; Instrumental variable probit

URI

http://hdl.handle.net/1885/26860

Collections

ANU Research Publications

Source

Journal of Econometrics

Type

Journal article

DOI

10.1016/j.jeconom.2005.01.031

Restricted until

2037-12-31

Downloads

File

Description

01_Vahid_The_missing_link:_using_the_2006.pdf (468.33 KB)