Building smooth indicators nearly free of end-of-sample revisions

Claudia Cicconi
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Claudia Cicconi: ISAE - Institute for Studies and Economic Analyses

No 49, ISAE Working Papers from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

Abstract: Aim of this paper is the construction of smooth indicator of the Italian industrial production index providing reliable end-of-sample information. Traditional smooth indicators are obtained using univariate filtering procedures based on symmetric or asymmetric filters inducing serious revisions. Here, the smoothing is obtained by exploiting the information embedded in the crosssectional dimension which allows to use a very narrow window, reducing the need for revisions at the end of the sample. As a by-product, we also obtained a smooth composite leading indicator of the industrial sector, based on eleven selected leading sectors.

Keywords: dynamic factor models, multivariate filtering, cyclical indicators; end-of-sample revisions. (search for similar items in EconPapers)
JEL-codes: C30 E32 L60 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2005-05
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