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Forecasting US output growth using leading indicators: an appraisal using MIDAS models

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Author Info
Michael P. Clements (Department of Economics, University of Warwick, UK)
Ana Beatriz Galvao (Department of Economics, Queen Mary, University of London, UK)

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Abstract

We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple individual leading indicators in a parsimonious way and to directly exploit the information content of the monthly series to predict quarterly output growth. When we use real-time vintage data, the indicators are found to have significant predictive ability, and this is further enhanced by the use of monthly data on the quarter at the time the forecast is made. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/jae.1075
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File URL: http://qed.econ.queensu.ca:80/jae/2009-v24.7/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 24 (2009)
Issue (Month): 7 ()
Pages: 1187-1206
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Handle: RePEc:jae:japmet:v:24:y:2009:i:7:p:1187-1206

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  1. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area," Discussion Paper Series 1: Economic Studies 2009,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
  2. Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers ECO2009/32, European University Institute. [Downloadable!]
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This page was last updated on 2009-12-17.

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