Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?
AbstractIn this paper we evaluate the relative merits of three approaches to information extraction from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a factor model, and single-indicator-based forecast pooling. The comparison is conducted using a large set of indicators for forecasting US inflation and GDP growth. We also compare our large set of leading indicators with purely autoregressive models, using an evaluation procedure that is particularly relevant for policy making. The evaluation is conducted both ex-post and in a pseudo real time context, for several forecast horizons, and using both recursive and rolling estimation. The results indicate a preference for simple forecasting tools, with a good relative performance of pure autoregressive models, and substantial instability in the leading characteristics of the indicators.
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Bibliographic InfoPaper provided by IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University in its series Working Papers with number 236.
Date of creation: 2003
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- 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.
- 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.
- NEP-ALL-2003-04-21 (All new papers)
- NEP-CBA-2003-04-21 (Central Banking)
- NEP-MAC-2003-04-21 (Macroeconomics)
- NEP-MON-2003-04-21 (Monetary Economics)
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