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

João Issler and Farshid Vahid

No 450, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

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 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.

Date: 2002-06-01
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity (2006)
Working Paper: The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity (2003)
Working Paper: The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity (2002)
Working Paper: The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:450

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