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Ein multisektoraler Sammelindikator für die Schweizer Konjunktur

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  • Michael Graff

Abstract

Der multisektorale Sammelindikator für die Schweizer Gesamtkonjunktur weist gegenüber eine Reihe von methodischen Innovationen auf und berücksichtigt eine vergleichsweise grosse Anzahl von Indikatorreihen. Für den Stützbereich von 1991 bis 2002 erhalten wir auf Quartalsbasis einen stabilen Vorlauf von zwei Quartalen vor der Referenzreihe Vorjahreswachstumsrate des BIP, und auch die Niveaus der Wachstumsrate werden gut getroffen. Der neue Sammelindikator zeigt auch gute "out of sample" Prognoseeigenschaften, und zwar sowohl bezüglich des Vorlaufs als auch hinsichtlich der Niveaus der Referenzreihe.

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Bibliographic Info

Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

Volume (Year): 142 (2006)
Issue (Month): IV (December)
Pages: 529–577

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Handle: RePEc:ses:arsjes:2006-iv-4

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Related research

Keywords: Sammelindikator; BIP-Prognose; Hauptkomponentenanalyse; Informationseffizienz;

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References

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  1. Athanasios Orphanides & Simon van Norden, 1999. "The Reliability of Output Gap Estimates in Real Time," Macroeconomics 9907006, EconWPA.
  2. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  3. Richard Etter & Michael Graff, 2004. "Coincident and Leading Indicators of Manufacturing Industry," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2004(1), pages 109-131.
  4. Christian Gayer, 2005. "Forecast Evaluation of European Commission Survey Indicators," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2005(2), pages 157-183.
  5. Entorf, Horst, 1993. "Constructing leading indicators from non-balanced sectoral business survey series," International Journal of Forecasting, Elsevier, vol. 9(2), pages 211-225, August.
  6. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
  7. Michael Graff, 2004. "Estimates of the output gap in real time: how well have we been doing?," Reserve Bank of New Zealand Discussion Paper Series DP 2004/04, Reserve Bank of New Zealand.
  8. Lucrezia Reichlin & Mario Forni & Marc Hallin & Marco Lippi, 2001. "Coincident and leading indicators for the Euro area," ULB Institutional Repository 2013/10137, ULB -- Universite Libre de Bruxelles.
  9. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis.
  10. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
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Cited by:
  1. Boriss Siliverstovs, 2010. "Assessing Predictive Content of the KOF Barometer in Real Time," KOF Working papers 10-249, KOF Swiss Economic Institute, ETH Zurich.
  2. Michael Graff, 2008. "Ein Stimmungsindikator für das Schweizer Kreditgewerbe," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 2(1), pages 59-70, March.

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