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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Oxford University Press in its journal Oxford Economic Papers.
Volume (Year): 47 (1995)
Issue (Month): 3 (July)
Contact details of provider:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Web page: http://oep.oupjournals.org/
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
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- David Hendry & Michael P. Clements, 2001.
"Economic Forecasting: Some Lessons from Recent Research,"
2002-W11, Economics Group, Nuffield College, University of Oxford.
- Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
- Hendry, David F & Michael P. Clements, 2002. "Economic Forecasting: Some Lessons from Recent Research," Royal Economic Society Annual Conference 2002 99, Royal Economic Society.
- David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Series Working Papers 78, University of Oxford, Department of Economics.
- Hendry, David F. & Clements, Michael P., 2001. "Economic forecasting: some lessons from recent research," Working Paper Series 0082, European Central Bank.
- 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.
- 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.
- Peaucelle, Irina, 1996. "Prévisions de court terme pour analyser les réformes en Russie (les)," CEPREMAP Working Papers (Couverture Orange) 9610, CEPREMAP.
- 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.
- Denise R. Osborn & Paul W. Simpson, 2000. "Forecasting UK Industrial Production Over the Business Cycle," Econometric Society World Congress 2000 Contributed Papers 1059, Econometric Society.
- 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.
- Lars-Erik Öller & Lasse Koskinen, 2004. "A classifying procedure for signalling turning points," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 197-214.
- Andrea Carriero & Massimiliano Marcellino, 2007.
"A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK,"
590, Queen Mary, University of London, School of Economics and Finance.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.