With recovery from the global financial crisis in 2009 and 2010, inflation emerged as a major concern for many central banks in emerging Asia. We use data observed at mixed frequencies to estimate the movement of Chinese headline inflation within the framework of a state-space model, and then...

In the paper, two indicators, the coincident and the leading indicator, are proposed to represent the aggregated economic activity in Poland. The indicators are constructed with stochastic cycle and trend model. Not only does the presented approach solve the problem of existence of stochastic...

This paper investigates the finite sample properties of the two-step estimators of dynamic factor models when unobservable common factors are estimated by the principal components methods in the first step. Effects of the number of individual series on the estimation of an auto-regressive model...