A note on Chambers's "long memory and aggregation in macroeconomic time series"

Chambers (1998) explores the interaction between long memory and aggregation. For continuous-time processes, he takes the aliasing effect into account when studying temporal aggregation. For discrete-time processes, however, he seems to fail to do so. This note gives the spectral density function of temporally aggregated long memory discrete-time processes in light of the aliasing effect. The results are different from those in Chambers (1998) and are supported by a small simulation exercise. As a result, the order of aggregation may not be invariant to temporal aggregation, specifically if d is negative and the aggregation is of the stock type.

The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity

We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming that the coincident variables have a common cycle with the unobserved state of the economy, and that the NBER business cycle dates signify the turning points in the unobserved state. This model allows us to estimate our coincident index as a linear combination of the coincident series. We establish that our index performs better than other currently popular coincident indices of economic activity.

The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity

We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming that the coincident variables have a common cycle with the unobserved state of the economy, and that the NBER business cycle dates signify the turning points in the unobserved state. This model allows us to estimate our coincident index as a linear combination of the coincident series. We establish that our index performs better than other currently popular coincident indices of economic activity.

Constructing coincident and leading indices of economic activity for the brazilian economy

This paper has three original contributions. The first is the reconstruction effort of the series of employment and income to allow the creation of a new coincident index for the Brazilian economic activity. The second is the construction of a coincident index of the economic activity for Brazil, and from it, (re)establish a chronology of recessions in the recent past of the Brazilian economy. The coincident index follows the methodology proposed by TCB and it covers the period 1980:1 to 2007:11. The third is the construction and evaluation of many leading indicators of economic activity for Brazil which fills an important gap in the Brazilian Business Cycles literature.