A Leading Index for the Colombian Economic Activity

Borradores de Economia
Number: 
243
Published: 
Classification JEL: 
C53, C82, E32
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy
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In this paper, we propose a methodology for calculating a leading index of the economic activity based on a modification of Stock and Watson’s (1989, 1991, 1992) approach. We use Kalman filter techniques for estimating the state space representation of th