The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity

Issler, João Victor; Vahid, Farshid

doi:10.1016/j.jeconom.2005.01.031

Cited by 22 publications

(13 citation statements)

References 29 publications

(34 reference statements)

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“…TCB approach is somewhat heuristic since it requires no estimation of a formal econometric model. Despite that, it works surprisingly well in practice; see the comparison in Issler and Vahid (2006) using the TCB index and alternative econometric-based indices in trying to replicate the NBER dating decisions.…”

Section: The Methodology Of Tcbmentioning

confidence: 99%

“…Despite that, it works surprisingly well in practice. Issler and Vahid (2006) compared the dating abilities of TCB's index with that of alternative econometric-based indices: the state of the economy dated by TCB's index is much closer to the states dated by NBER than the ones dated by the techniques put forth by Watson (1989, 1993b) using a factor model and the techniques proposed by Issler and Vahid themselves, based on a fitted structural model for NBER's decisions. As an alternative to heuristic methods, such as TCB's, several authors have proposed methods of building indices supported by sophisticated econometric and statistical techniques.…”

Section: International Experiencementioning

confidence: 99%

“…The lack of a direct measure for the state of the economy has led to the construction of proxies that can be used in real time. These are the so-called coincident indices of economic activity, see Burns and Mitchell (1946), Stock and Watson (1988a,b, 1989, 1991, 1993b, Mariano and Murasawa (2003), Chauvet (1998), Harding and Pagan (2002), Issler and Vahid (2006), and Chauvet and Piger. (2008).…”

Section: Introductionmentioning

confidence: 99%

“…The first is to propose a coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico, whose GDP amount to more than 70% of GDP of the region as a whole. Based on previous research (Duarte et al (2004), Issler and Vahid (2006), and Issler et al (2012)) we chose to compute coincident indices using the techniques put forth by The Conference Board (TCB). In order to obtain similar series to those defined by TCB in constructing coincident indices (output, sales, income and employment) we chose to back-cast various individual country series; see the discussion in Issler, Notini and Rodrigues, who proposed a state-space procedure based on the interpolation method of Bernanke et al (1997) and Mönch and Uhlig (2005).…”

Section: Introductionmentioning

confidence: 99%

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Constructing coincident indices of economic activity for the Latin American economy

Issler¹,

Notini

Rodrigues

et al. 2013

Rev. Bras. Econ.

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This paper has three main contributions. The first is to propose an individual coincident indicator for the following Latin American countries: Argentina, Brazil, Chile, Colombia and Mexico. In order to obtain similar series to those traditionally used in business-cycle research in constructing coincident indices (output, sales, income and employment) we were forced to back-cast several individual country series which were not available in a long time-series span. The second contribution is to establish a chronology of recessions for these countries, covering the period from 1980 to 2012 on a monthly basis. Based on this chronology, the countries are compared in several respects. The final contribution is to propose an aggregate coincident indicator for the Latin American economy, which weights individual-country composite indices. Finally, this indicator is compared with the coincident indicator (The Conference Board -TCB) of the U.S. economy. We find that the U.S.

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Section: The Methodology Of Tcbmentioning

confidence: 99%

Section: International Experiencementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Constructing coincident indices of economic activity for the Latin American economy

Issler¹,

Notini

Rodrigues

et al. 2013

Rev. Bras. Econ.

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“…Issler and Vahid (2006) and Cubadda (2007a) discuss how to obtain composite cyclical indicators under, respectively, SCCF and PSCCF. For instance, Issler and Vahid (2006) look at the linear combinations δ ′ ⊥ Y t . In Section 5 we extend this approach to the case that both SCCF and PSCCF are present in the data.…”

Section: Synchronous and Non-synchronous Common Cyclesmentioning

confidence: 99%

A general to specific approach for constructing composite business cycle indicators

2013

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This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and education use, including for instruction at the authors institution and sharing with colleagues.Other uses, including reproduction and distribution, or selling or licensing copies, or posting to personal, institutional or third party websites are prohibited. Combining economic time series with the aim to obtain an indicator for business cycle analyses is an important issue for policy makers. In this area, econometric techniques usually rely on systems with either a small number of series, N, or, at the other extreme, a very large N. In this paper we propose tools to select the relevant business cycle indicators in a "medium" N framework, a situation that is likely to be the most frequent in empirical works. An example is provided by our empirical application, in which we study jointly the short-run co-movements of 24 European countries. We show, under not too restrictive conditions, that parsimonious single-equation models can be used to split a set of N countries in three groups. The first group comprises countries that share a synchronous common cycle, a non-synchronous common cycle is present among the countries of the second group, and the third group collects countries that exhibit idiosyncratic cycles. Moreover, we offer a method for constructing a composite coincident indicator that explicitly takes into account the existence of these various forms of short-run co-movements among variables.

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A novel PPGA-based clustering analysis method for business cycle indicator selection

Zhang

Wang

et al. 2009

Front. Comput. Sci. China

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A new clustering analysis method based on the pseudo parallel genetic algorithm (PPGA) is proposed for business cycle indicator selection. In the proposed method, the category of each indicator is coded by real numbers, and some illegal chromosomes are repaired by the identification and restoration of empty class. Two mutation operators, namely the discrete random mutation operator and the optimal direction mutation operator, are designed to balance the local convergence speed and the global convergence performance, which are then combined with migration strategy and insertion strategy. For the purpose of verification and illustration, the proposed method is compared with the K-means clustering algorithm and the standard genetic algorithms via a numerical simulation experiment. The experimental result shows the feasibility and effectiveness of the new PPGA-based clustering analysis algorithm. Meanwhile, the proposed clustering analysis algorithm is also applied to select the business cycle indicators to examine the status of the macro economy. Empirical results demonstrate that the proposed method can effectively and correctly select some leading indicators, coincident indicators, and lagging indicators to reflect the business cycle, which is extremely operational for some macro economy administrative managers and business decision-makers.

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The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity

Cited by 22 publications

References 29 publications

Constructing coincident indices of economic activity for the Latin American economy

Constructing coincident indices of economic activity for the Latin American economy

A general to specific approach for constructing composite business cycle indicators

A novel PPGA-based clustering analysis method for business cycle indicator selection

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