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.
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.
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.
Contact details of provider:
Postal: 845 Third Avenue, New York, New York 10022-6679
Phone: (212) 759-0900
Fax: (212) 980-7014
Web page: http://www.conference-board.org/publications/publicationlistall.cfm?sort=type#EconomicWorkingPaper
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 &bull Diffusion Processes
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francis X. Diebold & Glenn D. Rudebusch, 1989. "Forecasting output with the composite leading index: an ex ante analysis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 90, Board of Governors of the Federal Reserve System (U.S.).
- Geoffrey H. Moore, 1950. "Statistical Indicators of Cyclical Revivals and Recessions," NBER Books, National Bureau of Economic Research, Inc, number moor50-1, Ekim.
- Robert H. McGuckin & Ataman Ozyildirim & Victor Zarnowitz, 2003.
"A More Timely and Useful Index of Leading Indicators,"
Economics Program Working Papers, The Conference Board, Economics Program
03-01, The Conference Board, Economics Program.
- McGuckin, Robert H. & Ozyildirim, Ataman & Zarnowitz, Victor, 2007. "A More Timely and Useful Index of Leading Indicators," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 25, pages 110-120, January.
- Zarnowitz, Victor, 1992. "Business Cycles," National Bureau of Economic Research Books, University of Chicago Press, number 9780226978901, March.
- Maximo Camacho & Gabriel Perez-Quiros, 2002.
"This is what the leading indicators lead,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd.,
John Wiley & Sons, Ltd., vol. 17(1), pages 61-80.
- Wesley C. Mitchell & Solomon Fabricant, 1938. "Statistical Indicators of Cyclical Revivals," NBER Books, National Bureau of Economic Research, Inc, number mitc38-1, Ekim.
- Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," The Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January.
- Loría, Eduardo & Brito, L., 2004. "Is the Consumer Confidence Index a Sound Predictor of the Private Demand in the United States?," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 1-15, Diciembre.
- António Rua & Luís Catela Nunes, 2003.
"Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach,"
w200307, Banco de Portugal, Economics and Research Department.
- Rua, Antonio & Nunes, Luis C., 2005. "Coincident and leading indicators for the euro area: A frequency band approach," International Journal of Forecasting, Elsevier, vol. 21(3), pages 503-523.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (A Ozyildirim).
If references are entirely missing, you can add them using this form.