In Search of Leading Indicators of Economic Activity in Germany
AbstractIn this paper we present two new composite leading indicators of economicactivity in Germany estimated using a dynamic factor model with and withoutregime switching. The obtained optimal inferences of business cycle turningpoints indicate that the two-state regime switching procedure leads to asuccessful representation of the sample data and provides an appropriatetool for forecasting business conditions.
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Bibliographic InfoPaper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 571.
Date of creation: 2001
Date of revision:
business cycles; leading indicators; turning points; Markovswitching; Germany;
Other versions of this item:
- Michael Funke & Harm Bandholz, 2003. "In search of leading indicators of economic activity in Germany," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 277-297.
- Harm Bandholz & Michael Funke, 2003. "In Search of Leading Indicators of Economic Activity in Germany," Quantitative Macroeconomics Working Papers 20307, Hamburg University, Department of Economics.
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