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2004 | nr 74 | 83--93
Tytuł artykułu

Does the Leading Index Predict in Real Time?

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This paper finds that the U.S. Index of Leading Economic Indicators (LEI) improves real-time out-of-sample forecasts of economic growth over periods from 1 to 9 months ahead. This is in contrast to earlier work that found the LEI failed when the analysis shifted beyond historical fitting exercises within the sample. Our results indicate that changes in the components of the leading index are linked to structural and institutional changes and improve real-time forecasts. (fragment of text)
Bibliografia
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  • Klein P.A., 1999b. The Leading Indicators in Historical Perspective. "Business Cycle Indicators 4(11), 3-4.
  • McGuckin R.H., Ozyildirim A., 2003. Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter ? The Conference Board, Economics Program Working Paper No. 03-04.
  • McGuckin R.H., Ozyildirim A., Zarnowitz V., 2003. A More Timely and Useful Index of Leading Indicators. The Conference Board, Economics Program Working Paper No. 03-01.
  • Mitchell W.C., Burns A.F., 1938. Statistical Indicators of Cyclical Revivals. Bulletin No. 69. New York: National Bureau of Economic Research.
  • Moore G.H., 1950. Statistical Indicators of Cyclical Revivals and Recessions. New York: NBER.
  • Moore G.H., (ed.). 1961. Business Cycle Indicators. 2 vols. Princeton, NJ: Princeton University Press.
  • Moore G.H., Shiskin J., 1967. Indicators of Business Cycle Expansions and Contractions. New York: NBER.
  • Sims C., 1994. Review of: Business Cycles: Theory, History, Indicators, and Forecasting by Victor Zarnowitz (1992). "Journal of Economic Literature 32(4), 1885-88.
  • Zarnowitz V., 1992. Business Cycles: Theory, History, Indicators, and Forecasting. Chicago, I 11.: The University of Chicago Press.
  • Zarnowitz V., 2001. The Record of the U.S. Leading Index and Its Components. "Business Cycle Indicators 6(9), 3-4.
  • Zarnowitz V., Boschan C., 1975. Cyclical Indicators: An Evaluation and New Leading Indexes. "Business Conditions Digest", May 1975.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171236293

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