Un Indicatore di Attività Economica per la Lombardia e per le Province di Milano e Pavia

Donatella Baiardi () and Carluccio Bianchi ()
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Donatella Baiardi: Department of Economics and Quantitative Methods, University of Pavia
Carluccio Bianchi: Department of Economics and Quantitative Methods, University of Pavia

No 130, Quaderni di Dipartimento from University of Pavia, Department of Economics and Quantitative Methods

Abstract: This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component technique is first used to summarize the information contained in a large dataset in a limited number of common factors capable of capturing the main features of local business fluctuations. The EM (Expectation Maximization) algorithm then allows to compute the desired territorial indicators by taking into account the official annual data on regional GDP or provincial value-added growth.

Keywords: Coincident Economic Activity Indicators; Italian Regions; Diffusion Indexes (search for similar items in EconPapers)
JEL-codes: C32 C82 E32 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2010-11
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