van Dijk, Dick; Groenen, Patrick; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 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...
