Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/95301
Authors: 
Baiardi, Donatella
Bianchi, Carluccio
Year of Publication: 
2012
Series/Report no.: 
Quaderni di Dipartimento 158
Abstract (Translated): 
This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the information contained in a large dataset in a limited number of common factors capable of capturing the main features of local business fluctuations. The EM (Expectation Maximization) algorithm then allows to compute the desired territorial indicators by taking into account the official annual data on regional GDP or provincial valueadded growth.
Subjects: 
Coincident Economic Activity Indicators
Italian Regions
Diffusion Indexes
JEL: 
E32
C32
C82
Document Type: 
Working Paper

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