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A comparison of methods for the construction of composite coincident and leading indexes for the UK

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  • Carriero, Andrea
  • Marcellino, Massimiliano

Abstract

In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the construction of coincident and leading indexes. For the leading indexes we also evaluate the performance of probit models and pooling. The results indicate that alternative methods produce similar coincident indexes, while there are more marked di.erences in the leading indexes.

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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 23 (2007)
Issue (Month): 2 ()
Pages: 219-236

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Handle: RePEc:eee:intfor:v:23:y:2007:i:2:p:219-236

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Cited by:
  1. Frale, Cecilia & Marcellino, Massimiliano & Mazzi, Gian Luigi & Proietti, Tommaso, 2008. "A Monthly Indicator of the Euro Area GDP," CEPR Discussion Papers 7007, C.E.P.R. Discussion Papers.
  2. Heilemann, Ullrich & Stekler, Herman, 2007. "Introduction to "The future of macroeconomic forecasting"," International Journal of Forecasting, Elsevier, vol. 23(2), pages 159-165.
  3. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Fichtner, Ferdinand & Rüffer, Rasmus & Schnatz, Bernd, 2009. "Leading indicators in a globalised world," Working Paper Series 1125, European Central Bank.
  5. Heij, C., 2007. "Improved forecasting with leading indicators: the principal covariate index," Econometric Institute Research Papers EI 2007-23, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  6. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
  7. D’Agostino, Antonello & Schnatz, Bernd, 2012. "Survey-based nowcasting of US growth: a real-time forecast comparison over more than 40 years," Working Paper Series 1455, European Central Bank.

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