A More Timely and Useful Index of Leading Indicators
Effectively predicting cyclical movements in the economy is a major challenge. While there are other approaches to forecasting, the U.S. leading index has long been used to analyze and predict economic fluctuations. We describe and test a new procedure for making the index more timely. The new index significantly outperforms its less timely counterpart and offers substantial gains in real-time out-of-sample forecasts of changes in aggregate economic activity and industrial production. It provides timely and accurate ex-ante information for predicting, not only the business cycle turning points, but the monthly changes in the economy.
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Volume (Year): 25 (2007)
Issue (Month): (January)
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- Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, 07.
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