The Composite Index of Leading Economic Indicators: How to Make It More Timely
AbstractA major shortcoming of the U.S. leading index is that it does not use the most recent information for stock prices and yield spreads. The index methodology ignores these data in favor of a time-consistent set of components (i.e., all of the components must refer to the previous month). An alternative is to bring the series with publication lags up-to-date with forecasts and create an index with a complete set of most recent components. This study uses tests of ex-ante predictive ability of the U.S. leading index to evaluate the gains to this new 'hot box' procedure of statistical imputation. We find that, across a variety of simple forecasting models, the new approach offers substantial improvements.
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 National Bureau of Economic Research, Inc in its series NBER Working Papers with number 8430.
Date of creation: Aug 2001
Date of revision:
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Web page: http://www.nber.org
More information through EDIRC
Other versions of this item:
- Robert H. McGuckin & Ataman Ozyildirim & Victor Zarnowitz, 2000. "The Composite Index of Leading Economic Indicators: How to Make it More Timely," Economics Program Working Papers, The Conference Board, Economics Program 00-04, The Conference Board, Economics Program.
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.:
- James H. Stock & Mark W. Watson, 1998.
"Business Cycle Fluctuations in U.S. Macroeconomic Time Series,"
NBER Working Papers
6528, National Bureau of Economic Research, Inc.
- Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, Elsevier, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier.
- Victor Zarnowitz, 1980. "On Functions, Quality, and Timeliness of Economic Information," NBER Working Papers 0608, National Bureau of Economic Research, Inc.
- Granger, Clive W. J. & King, Maxwell L. & White, Halbert, 1995. "Comments on testing economic theories and the use of model selection criteria," Journal of Econometrics, Elsevier, Elsevier, vol. 67(1), pages 173-187, May.
- Francis X. Diebold & Robert S. Mariano, 1994.
"Comparing Predictive Accuracy,"
NBER Technical Working Papers
0169, National Bureau of Economic Research, Inc.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(3), pages 253-63, July.
- Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(1), pages 134-44, January.
- Stock, J.H. & Watson, M.W., 1989.
"New Indexes Of Coincident And Leading Economic Indicators,"
Papers, Harvard - J.F. Kennedy School of Government
178d, Harvard - J.F. Kennedy School of Government.
- James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
- Swanson, N.R., 1996. "Forecasting Economic Time series Using Adaptive Versus Nonadaptive and Linecar Versus Nonlinear Econometric Models," Papers, Pennsylvania State - Department of Economics 4-96-2, Pennsylvania State - Department of Economics.
- Zarnowitz, Victor, 1982. "On Functions, Quality, and Timeliness of Economic Information," The Journal of Business, University of Chicago Press, vol. 55(1), pages 87-119, January.
- Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, Elsevier, vol. 13(4), pages 439-461, December.
- Dagum, Estela Bee, 2010. "Business Cycles and Current Economic Analysis/Los ciclos econÃ³micos y el anÃ¡lisis econÃ³mico actual," Estudios de EconomÃa Aplicada, Estudios de EconomÃa Aplicada, vol. 28, pages 577-594, Diciembre.
- Agne Reklaite, 2011. "Coincident, leading and recession indexes for the Lithuanian economy," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 91-108, July.
- Heij, C. & van Dijk, D.J.C. & Groenen, P.J.F., 2009. "Macroeconomic forecasting with real-time data: an empirical comparison," Econometric Institute Research Papers EI 2009-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Joannes Mongardini & Tahsin Saadi-Sedik, 2003. "Estimating Indexes of Coincident and Leading Indicators," IMF Working Papers 03/170, International Monetary Fund.
- Michael Meow-Chung Yap, 2009. "Assessing Malaysiaâ€™s Business Cycle indicators," Development Research Unit Working Paper Series, Monash University, Department of Economics 04-09, Monash University, Department of Economics.
- Rafal Kasperowicz, 2010. "Identification of Industrial Cycle Leading Indicators Using Causality Test," Equilibrium, Uniwersytet Mikolaja Kopernika, vol. 2, pages 47-59.
- Kajal Lahiri & Herman O. Stekler & Wenxiong Yao & Peg Young, 2003. "Monthly Output Index for the U.S. Transportation Sector," Discussion Papers 03-12, University at Albany, SUNY, Department of Economics.
- Andrew Filardo, 2004. "The 2001 US recession: what did recession prediction models tell us?," BIS Working Papers 148, Bank for International Settlements.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.