Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?
AbstractThis paper reports real-time out-of-sample tests of the ability of the U.S. Index Leading Economic Indicators (LEI) to forecast the economy using "composition-changing" "as-published" versions of the LEI. It is an extension of recent work that focused on forecasts with a "composition-constant" LEI. The results demonstrate that the LEI helps forecasts and compositional change in the LEI does not account for poor real-time out-of-sample forecast performance found in earlier work. Reviews of the historical record reinforce the findings.
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Bibliographic InfoPaper provided by The Conference Board, Economics Program in its series Economics Program Working Papers with number 03-04.
Length: 32 pages
Date of creation: Jun 2003
Date of revision:
Publication status: Published in Journal of Business Cycle Measurement and Analysis, Vol. 1, No. 2, June 2004, pages 171-92.
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More information through EDIRC
Business cycle; Indicators; Leading index; Times series; Forecasting;
Other versions of this item:
- Robert H. McGuckin & Ataman Ozyildirim, 2004. "Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2004(2), pages 171-191.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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