The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany,Italy and the UK
AbstractIn this paper we present a methodology for evaluating the forecasting ability of composite leading indicator variables of industrial economic activity. The new methodology highlights the risks of variable selection in a VAR framework. The methodology is applied to investigate the performance of the OECD composite leading indicator in forecasting industrial production in four European countries.
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Bibliographic InfoPaper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 155.
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