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Business cycle indexes: does a heap of data help?

Robert Inklaar (), Jan Jacobs () and Ward Romp

No 200312, CCSO Working Papers from University of Groningen, CCSO Centre for Economic Research

Abstract: Business cycle indexes are used to get a timely and frequent description of the state of the economy and its likely development in the near future. This paper discusses two methods for constructing business cycle indexes, the traditional NBER method and a recently developed dynamic factor model, and compares these methods for the euro area. The results suggest that a reliable indicator can be constructed from a limited number of series that are selected using economic logic.

Date: 2003
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Journal Article: Business Cycle Indexes: Does a Heap of Data Help? (2005) Downloads
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