A new coincident index of business cycles based on monthly and quarterly series
针对现有月度同步指数忽略季度指标（如实际GDP）且缺乏经济含义的缺陷，通过最大似然因子分析混合频率数据，构建了一个与潜在月度实际GDP相关的新同步指数。
Abstract Popular monthly coincident indices of business cycles, e.g. the composite index and the Stock–Watson coincident index, have two shortcomings. First, they ignore information contained in quarterly indicators such as real GDP. Second, they lack economic interpretation; hence the heights of peaks and the depths of troughs depend on the choice of an index. This paper extends the Stock–Watson coincident index by applying maximum likelihood factor analysis to a mixed‐frequency series of quarterly real GDP and monthly coincident business cycle indicators. The resulting index is related to latent monthly real GDP. Copyright © 2002 John Wiley & Sons, Ltd.