A Monthly Regional Indicator of Economic Activity: An Application for Latin America

Pavel Vidal Alejandro · Lya Paola Sierra · Johana Andrea Sanabria-Domínguez · Jaime Andrés Collazos

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Regional Economic and Spatial Analysis

Abstract

The study developed by Stock and Watson (1991) has served as a catalyst for the construction of monthly indicators of economic activity. However, its application has been focused on national statistics. In this article we develop a new empirical strategy of three steps to build regional economic indicators on a monthly basis that can be replicated in provinces or municipalities in Latin America. We apply this empirical strategy to develop the Monthly Indicator of Economic Activity (in Spanish, IMAE) for one of the main regions of Colombia: Valle del Cauca.

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1990Forecasting, Structural Time Series Models and the Kalman Filter 1971Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series 2009Real-Time Measurement of Business Conditions 1991A probability model of the coincident economic indicators 1981A Methodological Note on the Estimation of Time Series 2010Introducing the euro‐sting: Short‐term indicator of euro area growth 1983A Random Walk, Markov Model for the Distribution of Time Series 2001Coincident and Leading Indicators for the Euro Area

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