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Turning Point Prediction for the UK Using CSO Leading Indicators

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  • Artis, Michael J, et al

Abstract

This paper examines the performance of the Central Statistical Office's leading indicators for predicting turning points in the U.K. growth cycle. Three methods for extracting a signal are considered: a simple mechanical rule based upon the direction of consecutive movements in the leading indicator and two probabilistic models, namely a standard Bayesian procedure and the sequential probability model. The results suggest that usefulness of the shorter leading index is limited and typically outperformed by naive, nonindicator methods. The longer leading index performs only slightly better showing a lead time of between four and six months in relation to the reference cycle. Coauthors are Robin C. Bladen-Hovell, Denise R. Osborn, Graham W. Smith, and Wenda Zhang. Copyright 1995 by Royal Economic Society.

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Bibliographic Info

Article provided by Oxford University Press in its journal Oxford Economic Papers.

Volume (Year): 47 (1995)
Issue (Month): 3 (July)
Pages: 397-417

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Handle: RePEc:oup:oxecpp:v:47:y:1995:i:3:p:397-417

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Cited by:
  1. Simpson, Paul W & Osborn, Denise R & Sensier, Marianne, 2001. "Forecasting UK Industrial Production over the Business Cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 405-24, September.
  2. Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society.
  3. Michele Fratianni & Michael Artis, 1996. "The lira and the pound in the 1992 currency crisis: Fundamentals or speculation?," Open Economies Review, Springer, vol. 7(1), pages 573-589, March.
  4. Peaucelle, Irina, 1996. "Prévisions de court terme pour analyser les réformes en Russie (les)," CEPREMAP Working Papers (Couverture Orange) 9610, CEPREMAP.
  5. Simon Hayes, 2001. "Leading indicator information in UK equity prices: an assessment of economic tracking portfolios," Bank of England working papers 137, Bank of England.
  6. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
  7. Koskinen, Lasse & Öller, Lars-Erik, 2001. "A Classifying Procedure for Signaling Turning Points," Working Paper Series in Economics and Finance 427, Stockholm School of Economics.
  8. Croce, Roberto M. & Haurin, Donald R., 2009. "Predicting turning points in the housing market," Journal of Housing Economics, Elsevier, vol. 18(4), pages 281-293, December.

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