Heij, C.; Dijk, D.J.C. van; Groenen, P.J.F. - Erasmus University Rotterdam, Econometric Institute - 2006
This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using principal component regres- sion. The method aims to maximize the amount of variance of the origi- nal predictor variables retained by the diffusion indexes, by matching the data...