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Title: A Reduced Rank Regression Approach to Coincident and Leading Indexes Building.
Authors: Cubadda, Gianluca
Keywords: Coincident and Leading Indexes
Polynomial Serial Correlation Common Feature
Reduced Rank Regression.
Issue Date: 24-Sep-2004
Abstract: This paper proposes a reduced rank regression framework for constructing coincident and leading indexes. Based on a formal definition that requires that the first differences of the leading index are the best linear predictor of the first differences of the coincident index, it is shown that the notion of polynomial serial correlation common features can be used to build these composite variables. Concepts and methods are illustrated by an empirical investigation of the US business cycle in
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