The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity

João Victor Issler () and Farshid Vahid ()

No 9/2001, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

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 United States. Specifically, we use canonical correlation analysis to filter out the noisy information contained in the coincident series. Finally, to construct our preferred coincident index of the U.S. business cycle, we take account of measurement error in the commonly used coincident series by using instrumental-variable methods. The resulting index is a simple linear combination of four coincident series that encompassed currently popular coincident indices.

Keywords: Coincident and Leading Indicators; Business Cycle; Canonical Correlation; Instrumental Variable Probit; Encompassing (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: Written 2001-07

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Related works:
Working Paper: The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity (2001)
Working Paper: The missing link: Using the NBER recession indicator to construct coincident and leading indices of economic activity (2003)
Working Paper: The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity (2002)
Working Paper: The Missing Link: Using the NBER Recession Indicator to Construct Coincident and Leading Indices of Economic Activity (2002)
Journal Article: The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity (2006)
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