Choosing a dynamic common factor as a coincident index

Wilmer Martinez-Rivera (), Fabio H. Nieto and Pilar Poncela

Statistics & Probability Letters, 2016, vol. 109, issue C, 89-98

Abstract: A methodology to compute a coincident index is presented. The procedure is based on the common factors of a set of indicator variables and a device that is termed coincident profile. Applications in economics and finance are included.

Keywords: Dynamic common factors; Coincident indexes; Coincident profile (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2015.11.008

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