Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?
This paper reports real-time out-of-sample tests of the ability of the U.S. Index Leading Economic Indicators (LEI) to forecast the economy using "composition-changing" "as-published" versions of the LEI. It is an extension of recent work that focused on forecasts with a "composition-constant" LEI. The results demonstrate that the LEI helps forecasts and compositional change in the LEI does not account for poor real-time out-of-sample forecast performance found in earlier work. Reviews of the historical record reinforce the findings.
|Date of creation:||Jun 2003|
|Publication status:||Published in Journal of Business Cycle Measurement and Analysis, Vol. 1, No. 2, June 2004, pages 171-92.|
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John Wiley & Sons, Ltd., vol. 17(1), pages 61-80.
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