This paper proposes a reduced rank regression framework for constructing a coincident index (CI) and a leading index (LI). Based on a formal definition that requires that the first differences of the LI are the best linear predictor of the first differences of the CI, it is shown that the notion...

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in vector autoregressive (VAR) models at a particular frequency "ω", where "ω"  is an element of  [0, "π"]. When a dynamic model is affected by a structural break, the...

This paper introduces a new representation for seasonally cointegrated variables, namely the complex error correction model, which allows statistical inference to be performed by reduced rank regression. The suggested estimators and tests statistics are asymptotically equivalent to their maximum...