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Abstract Details
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Activity Number:
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38
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Type:
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Contributed
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Date/Time:
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Sunday, July 29, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #306048 |
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Title:
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Design of a Coincident Index Using Dynamic Common Factors
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Author(s):
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Wilmer Martinez*+ and Fabio H. Nieto and Pilar Poncela
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Companies:
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Central Bank and Universidad Nacional de Colombia and Universidad Autónoma de Madrid
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Address:
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Calle 12A 71B 60 Casa 115, BOGOTÁ, _, , Colombia
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Keywords:
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Dynamic-common factor ;
coincident profile ;
coincident index
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Abstract:
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Stock and Watson's (1989, 1991) philosophy opens the door for thinking about the use of dynamic-common-factors procedures in order to chose one of the common factors as the entertained index. This is the goal of this paper and the proposed methodology will be based on Peña and Poncela's (2006) dynamic-common-factors approach and Banerji's (1999) lead profile procedure. In the first paper, non-stationary and stationary common factors are extracted from a multivariate stochastic process and then the idea is how to choose the more appropriate factor that serves as the index. In the second, the leading profile is a way to obtain leading indexes. Our challenge is to define a coincident profile.
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