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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| Materyal Türü: | Tez |
| Dil: | English |
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2011.
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