Número:
243
Publicado:
Clasificación JEL:
C53, C82, E32
Palabras clave:
Coincident indexes, leading indexes, state space models
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Margarita María Gáfaro-González
Julián Andrés Parra-Polanía, Juan D. Ladino Riveros
Camilo Bohorquez-Penuela, Margarita María Gáfaro-González, Karelys Guzmán-Finol, Alex Pérez
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