In this paper we present two new composite leading indicators of economicactivity in Germany estimated using a dynamic factor model with and withoutregime switching. The obtained optimal inferences of business cycle turningpoints indicate that the two-state regime switching procedure leads to...

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...