In Search of Leading Indicators of Economic Activity in Germany
AbstractIn this Paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtained optimal inferences of business cycle turning points indicate that the two-state regime switching procedure leads to a successful representation of the sample data and provides an appropriate tool for forecasting business conditions.
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Bibliographic InfoPaper provided by Hamburg University, Department of Economics in its series Quantitative Macroeconomics Working Papers with number 20307.
Date of creation: Jul 2003
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More information through EDIRC
Business Cycles; Leading Indicators; Turning Points; Markov Switching; 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, 2001. "In Search of Leading Indicators of Economic Activity in Germany," CESifo Working Paper Series 571, CESifo Group Munich.
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