English, Article, Journal or magazine article edition: Unobserved Leading and Coincident Common Factors in the Post-War U.S. Business Cycle Konstantin A. KHOLODILIN

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Bookmark: http://trove.nla.gov.au/version/178539
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Unobserved Leading and Coincident Common Factors in the Post-War U.S. Business Cycle
Author
  • Konstantin A. KHOLODILIN
Physical Description
  • preprint
Notes
  • The paper introduces a two-factor model of the common leading and coincident economic indicators. Both factors are unobserved and each of them captures the dynamics of a corresponding group of the observed time series. The common leading factor is assumed to Granger-cause the common coincident factor. This property is used to estimate these two factors simultaneously and hence more efficiently. Two models of the latent leading and coincident factors are studied : a model with linear dynamics and a model with Markov-switching dynamics introduced through the leading factor intercept term. Moreover, a possibility of the individual leading variables having different leads over the common coincident indicator is considered. These models - both with linear and with regime-switching dynamics - were applied to the US monthly macroeconomic time series. The business cycle dating resulting from the nonlinear model closely corresponds to the NBER chronology and leads its turning points by 3-5 months.
  • dynamic factor analysis;Markov switching;leading indicator;coincident indicator;Granger causality
  • RePEc:ctl:louvir:2002008
Language
  • English
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