Turning Point Prediction for the UK Using CSO Leading Indicators
AbstractThis 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 InfoArticle provided by Oxford University Press in its journal Oxford Economic Papers.
Volume (Year): 47 (1995)
Issue (Month): 3 (July)
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Other versions of this item:
- Artis, Michael J, 1993. "Turning Point Prediction for the UK using CSO Leading Indicators," CEPR Discussion Papers 833, C.E.P.R. Discussion Papers.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
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