This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

This paper compares different approaches to constructing composite business cycle indicators based on series from the Joint Harmonised EU Programme of Business and Consumer Surveys (BCS). The currently computed Confidence Indicators are used as benchmarks in gauging four different...