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In search of leading indicators of economic activity in Germany

  • Michael Funke

    (Department of Economics, Hamburg University, Germany)

  • Harm Bandholz

    (Department of Economics, Hamburg University, Germany)

In 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. Copyright © 2003 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.862
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 22 (2003)
Issue (Month): 4 ()
Pages: 277-297

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Handle: RePEc:jof:jforec:v:22:y:2003:i:4:p:277-297
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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  10. Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May.
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