In search of leading indicators of economic activity in Germany

In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtainted optimal inferences of business cycle turning points indicate that the two-state rgime switching procedure leads to a s...

Ausführliche Beschreibung

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Bibliographische Detailangaben
1. Verfasser: Bandholz, Harm (VerfasserIn)
Weitere Verfasser: Funke, Michael (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: Munich Univ., Center for Economic Studies 2001
Schriftenreihe:CESifo working paper series 571
Schlagworte:
1971-2000 > Wirtschaftsindikator > Prognoseverfahren > Faktorenanalyse > Zeitreihenanalyse > Markov-Kette > Deutschland > Konjunktureller Wendepunkt > Markov switching model > Arbeitspapier > Graue Literatur
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Beschreibung
Zusammenfassung:In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtainted optimal inferences of business cycle turning points indicate that the two-state rgime switching procedure leads to a successful representation of the sample data and provides an appropriate tool for forecasting business conditions.
Beschreibung:Literaturverz. S. 26 - 27
Internetausg.: ftp://129.187.96.124/CESifo_WP/571.pdf
Beschreibung:27 S
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