| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8865 |
| DP8865 Extracting nonlinear signals from several economic indicators | |
| Gabriel Pérez-Quirós; Pilar Poncela; Máximo Camacho | |
| 发表日期 | 2012-02-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non- linear multivariate specification (one-step approach) with the shortcut of using a linear factor model to obtain a coincident indicator which is then used to compute the Markov-switching probabilities (two-step approach). Second, we examine the role of increasing the number of indicators. Our results suggest that one step is generally preferred to two steps, although its marginal gains diminish as the quality of the indicators increases and as more indicators are used to identify the non-linear signal. Using the four constituent series of the Stock-Watson coincident index, we illustrate these results for US data. |
| 主题 | International Macroeconomics |
| 关键词 | Business cycles Output growth Time series. |
| URL | https://cepr.org/publications/dp8865 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537688 |
| 推荐引用方式 GB/T 7714 | Gabriel Pérez-Quirós,Pilar Poncela,Máximo Camacho. DP8865 Extracting nonlinear signals from several economic indicators. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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