Crone, Theodore M.; Clayton-Matthews, Alan - In: The Review of Economics and Statistics 87 (2005) 4, pp. 593-603
In the late 1980s James Stock and Mark Watson developed for the U.S. economy an alternative coincident index to the one now published by the Conference Board. They used the Kalman filter to estimate a latent dynamic factor for the national economy and designated the common factor as the...
