Premium
A DYNAMIC FACTOR MODEL OF ECONOMIC ACTIVITY IN HONG KONG
Author(s) -
Gerlach Stefan,
Yiu Matthew S.
Publication year - 2005
Publication title -
pacific economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.34
H-Index - 33
eISSN - 1468-0106
pISSN - 1361-374X
DOI - 10.1111/j.1468-0106.2005.00272.x
Subject(s) - watson , dynamic factor , economics , principal component analysis , econometrics , index (typography) , stock (firearms) , factor analysis , retail sales , price index , component (thermodynamics) , mathematics , statistics , computer science , geography , business , thermodynamics , physics , archaeology , marketing , natural language processing , world wide web
. This paper applies the single‐index dynamic factor model developed by J. H. Stock and M. W. Watson to construct (almost) real‐time estimates of economic activity in Hong Kong. The Hang Seng index, a residential property price index, retail sales and total exports are used as coincident indicators. Principal component analysis is first used to obtain an impression of the common component of the indicator series. This component and the dynamic factor identified by the Stock–Watson methodology are strongly correlated and seem to capture economic fluctuations in Hong Kong reasonably well.