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Macroeconomic forecasting with real-time data: an empirical comparison


  • Heij, C.
  • van Dijk, D.J.C.
  • Groenen, P.J.F.


Macroeconomic forecasting is not an easy task, in particular if future growth rates are forecasted in real time. This paper compares various methods to predict the growth rate of US Industrial Production (IP) and of the Composite Coincident Index (CCI) of the Conference Board, over the coming month, quarter, and half year. It turns out that future IP growth rates can be forecasted in real time from ten leading indicators, by means of the Composite Leading Index (CLI) or, even somewhat better, by principal components regression. This amends earlier negative findings for IP by Diebold and Rudebusch. For CCI, on the other hand, simple autoregressive models do not provide significantly less accurate forecasts than single-equation and bivariate vector autoregressive models with the CLI. This amends some of the more positive results for CCI recently reported by the Conference Board. Not surprisingly, all forecast methods improve considerably if `ex post' data are used, after possible data updates and revisions.

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  • Heij, C. & van Dijk, D.J.C. & Groenen, P.J.F., 2009. "Macroeconomic forecasting with real-time data: an empirical comparison," Econometric Institute Research Papers EI 2009-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  • Handle: RePEc:ems:eureir:17018

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    References listed on IDEAS

    1. Ataman Ozyildirim & Brian Schaitkin & Victor Zarnowitz, 2010. "Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 6-28.
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