This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-12-09 (All new papers)
• NEP-EEC-2005-12-09 (European Economics)
• NEP-FOR-2005-12-09 (Forecasting)
• NEP-MAC-2005-12-09 (Macroeconomics)

1. Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November. [Downloadable!] (restricted)
   Other versions:
   • Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics. [Downloadable!]
   • Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society. [Downloadable!]
   • Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City. [Downloadable!]
2. Marc Brisson & Bryan Campbell & John Galbraith, 2001. "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers 2001s-46, CIRANO. [Downloadable!]
3. Israel Sancho & maximo Camacho, 2002. "Spanish diffusion indexes," Computing in Economics and Finance 2002 276, Society for Computational Economics.
4. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2003. "The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting," LEM Papers Series 2003/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
   Other versions:
   • Forni M. & Hallin M., 2003. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Computing in Economics and Finance 2003 143, Society for Computational Economics.
   • Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
   • Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September. [Downloadable!] (restricted)
5. Ulrich Fritsche & Sabine Stephan, 2000. "Leading Indicators of German Business Cycles: An Assessment of Properties," Macroeconomics 0004005, EconWPA. [Downloadable!]
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   • Ulrich Fritsche & Sabine Stephan, 2000. "Leading Indicators of German Business Cycles : An Assessment of Properties," Discussion Papers of DIW Berlin 207, DIW Berlin, German Institute for Economic Research. [Downloadable!]
6. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2003. "Leading Indicators for Euro Area Inflation and GDP Growth," CEPR Discussion Papers 3893, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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   • Anindya Banerjee & Massimiliano Marcellino & Igor Masten, . "Leading Indicators for Euro-area Inflation and GDP Growth," Working Papers 235, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
   • Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2005. "Leading Indicators for Euro-area Inflation and GDP Growth," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 785-813, December. [Downloadable!] (restricted)
7. Martin Schneider & Martin Spitzer, 2004. "Forecasting Austrian GDP using the generalized dynamic factor model," Working Papers 89, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
8. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2004. "The generalized dynamic factor model consistency and rates," Journal of Econometrics, Elsevier, vol. 119(2), pages 231-255, April. [Downloadable!] (restricted)
9. Anindya BANERJEE & Massimiliano MARCELLINO, 2002. "Are There Any Reliable Leading Indicators for US Inflation and GDP Growth?," Economics Working Papers ECO2002/21, European University Institute. [Downloadable!]
   Other versions:
   • Anindya Banerjee & Massimiliano Marcellino, . "Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?," Working Papers 236, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
   • Banerjee, Anindya & Marcellino, Massimiliano, 2006. "Are there any reliable leading indicators for US inflation and GDP growth?," International Journal of Forecasting, Elsevier, vol. 22(1), pages 137-151. [Downloadable!] (restricted)
10. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October. [Downloadable!] (restricted)
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    • James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
11. Hüfner, Felix P. & Schröder, Michael, 2002. "Forecasting economic activity in Germany : how useful are sentiment indicators?," ZEW Discussion Papers 02-56, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
12. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277. [Downloadable!] (restricted)
    Other versions:
    • Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004. "Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread," Working Papers. Serie AD 2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
13. Bruce Hansen, 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(1), pages 1-14. [Downloadable!] (restricted)
14. Shintani, Mototsugu, 2005. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 517-38, June.
    Other versions:
    • Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Working Papers 0322, Department of Economics, Vanderbilt University, revised Apr 2004. [Downloadable!]
15. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
16. Stefan Mittnik & Peter Zadrozny, 2004. "Forecasting Quarterly German GDP at Monthly Intervals Using Monthly IFO Business Conditions Data," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
17. Schumacher, Christian, 2005. "Forecasting German GDP using alternative factor models based on large datasets," Discussion Paper Series 1: Economic Studies 2005,24, Deutsche Bundesbank, Research Centre. [Downloadable!]
    Other versions:
    • Christian Schumacher, 2007. "Forecasting German GDP using alternative factor models based on large datasets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 271-302. [Downloadable!]
18. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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    • Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
19. Kapetanios, George & Marcellino, Massimiliano, 2006. "A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions," CEPR Discussion Papers 5620, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

Cited by:
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1. Jonas Dovern, 2006. "Predicting GDP Components. Do Leading Indicators Increase Predictability?," Kiel Advanced Studies Working Papers 436, Kiel Institute for the World Economy. [Downloadable!]
2. Konstantin A. Kholodilin & Boriss Siliverstovs & Stefan Kooths, 2007. "A Dynamic Panel Data Approach to the Forecasting of the GDP of German Länder," Discussion Papers of DIW Berlin 664, DIW Berlin, German Institute for Economic Research. [Downloadable!]