Borradores de Economia
Número:
243
Publicado:
Clasificación JEL:
C53, C82, E32
Palabras clave:
Coincident indexes, leading indexes, state space models
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Mauricio Villamizar-Villegas, Oscar Mauricio Valencia-Arana, Andrés Felipe Prado, Nicolás Aya
Pedro Pablo Calderon-Camacho, Celina Gaitán-Maldonado, Nicolle Valentina Herrera-Pinto, Mario A. Ramos-Veloza
Franky Juliano Galeano-Ramírez, Nicolás Martínez-Cortés, Hernán Dario Perdomo-Sánchez, Marlon Salazar
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