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A More Timely and Useful Index of Leading Indicators

  • Robert H. McGuckin

    (The Conference Board)

  • Ataman Ozyildirim

    ()

    (The Conference Board)

  • Victor Zarnowitz

    ()

    (The Conference Board)

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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File URL: http://www.conference-board.org/economics/workingpapers.cfm?pdf=E-0010-03-WP
File Function: Revised version, 2003
Download Restriction: no

Paper provided by The Conference Board, Economics Program in its series Economics Program Working Papers with number 03-01.

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Length: 37 pages
Date of creation: Feb 2003
Date of revision:
Publication status: Published in Journal of Business & Economic Statistics, Vol. 25, No. 1, January 2007, pp. 110-20.
Handle: RePEc:cnf:wpaper:0301
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  1. 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, May.
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