ALTERNATIVE WEIGHTING APPROACHES TO COMPUTING INDEXES OF ECONOMIC ACTIVITY
比较了传统、主成分和动态因子三种加权方法在汇总多个变量信息时的优劣，提出一个框架来讨论它们隐含的载荷，并展示了动态因子方法在捕捉成分重要性和变异性方面的优势。
Abstract This paper compares the weighting schemes in the traditional, principal component and dynamic factor approaches to summarizing information from a number of component variables. To facilitate the comparison, we propose a framework to discuss the approaches with respect to their implied loadings in a latent variable model. We also propose a way to transform the dynamic factor index into an analogous index which is a weighted average of the components. The framework shows the strengths and weakness of the alternative weighting schemes and the sense in which the dynamic factor approach has the advantage of capturing both the significance and the variability of the components.