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Ein multisektoraler Sammelindikator für die Schweizer Konjunktur

  • Michael Graff

Der multisektorale Sammelindikator für die Schweizer Gesamtkonjunktur weist gegenüber eine Reihe von methodischen Innovationen auf und berücksichtigt eine vergleichsweise grosse Anzahl von Indikatorreihen. Für den Stützbereich von 1991 bis 2002 erhalten wir auf Quartalsbasis einen stabilen Vorlauf von zwei Quartalen vor der Referenzreihe Vorjahreswachstumsrate des BIP, und auch die Niveaus der Wachstumsrate werden gut getroffen. Der neue Sammelindikator zeigt auch gute "out of sample" Prognoseeigenschaften, und zwar sowohl bezüglich des Vorlaufs als auch hinsichtlich der Niveaus der Referenzreihe.

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Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

Volume (Year): 142 (2006)
Issue (Month): IV (December)
Pages: 529–577

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Handle: RePEc:ses:arsjes:2006-iv-4
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  1. Michael Graff, 2004. "Estimates of the output gap in real time: how well have we been doing?," Reserve Bank of New Zealand Discussion Paper Series DP 2004/04, Reserve Bank of New Zealand.
  2. Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
  3. Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.).
  4. Entorf, Horst, 1993. "Constructing leading indicators from non-balanced sectoral business survey series," International Journal of Forecasting, Elsevier, vol. 9(2), pages 211-225, August.
  5. Richard Etter & Michael Graff, 2004. "Coincident and Leading Indicators of Manufacturing Industry," Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2004(1), pages 109-131.
  6. Forni, Mario, et al, 2001. "Coincident and Leading Indicators for the Euro Area," Economic Journal, Royal Economic Society, vol. 111(471), pages C62-85, May.
  7. Christian Gayer, 2005. "Forecast Evaluation of European Commission Survey Indicators," Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2005(2), pages 157-183.
  8. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
  9. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
  10. Thomas J. Sargent & Christopher A. Sims, 1977. "Business cycle modeling without pretending to have too much a priori economic theory," Working Papers 55, Federal Reserve Bank of Minneapolis.
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