Camacho, Máximo; Doménech, Rafael - In: SERIEs 3 (2012) 4, pp. 475-497
In this paper we extend the Stock and Watson’s (Leading economic indicators, new approaches and forecasting records, <CitationRef CitationID="CR17">1991</CitationRef>) single-index dynamic factor model in an econometric framework that has the advantage of combining information from real and financial indicators published at different...</citationref>