RDP 2005-07: The Australian Business Cycle: A Coincident Indicator Approach
Equation (3)
var
(
f
)
=
∑
t
=
1
N
c
i
2
var
(
x
i
)
+
∑
i
=
1
N
−
1
∑
j
=
i
+
1
N
2
c
i
c
j
cov
(
x
i
,
x
j
)
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