Extracting leading economic indicators for the Philippine economy using dynamic factor models

Extracting leading economic indicators for the Philippine economy using dynamic factor models

Abstract (This paper presents a Dynamic Factor Model (DFM) approach to extracting Leading Economic Indicators developed by Stock and Watson 1991. DFM is applied to a vast member of financial and economic monthly data from January 2000 to December 2009. Three scenerios (models) were considered in the...

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Bibliographic Details
Main Author: Simbulan, Maria Christina S..
Format: Thesis
Language:English
Published: 2011.
Subjects:
Economic conditions > Philippines.
Expenditures, Public > Philippines.
Gross domestic product > Philippines.
Principal components analysis.