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Nonlinear autoregressive leading indicator models of output in G-7 countries ...
This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G-7 countries. Our models use the spread between short-term and long-term... -
How well do Markov switching models describe actual business cycles? The case...
The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs... -
A new coincident index of business cycles based on monthly and quarterly seri...
Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock-Watson coincident index, have two shortcomings. First, they ignore information... -
This is what the leading indicators lead (replication data)
We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy... -
Are financial spreads useful indicators of future inflation and output growth...
This paper seeks to address the policy issue of the usefulness of financial spreads as indicators of future inflation and output growth in the countries of the European Union,... -
ESTIMATING THE INNOVATION FUNCTION FROM PATENT NUMBERS: GMM ON COUNT PANEL DA...
The purpose of this paper is to estimate the patent equation, an empirical counterpart to the knowledge-production function. Innovation output is measured through the number of... -
Measuring underlying economic activity (replication data)
Recently, interest in the methodology of constructing coincident economic indicators has been revived by the work of Stock and Watson (1989b). They adopt the framework of the...
