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The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy

Author

Listed:
  • Dr Martin Weale
  • Gonzalo Camba-Mendez
  • George Kapetanios
  • Ray Smith

    ()

Abstract

In this paper we present a methodology for evaluating the forecasting ability of composite leading indicator varianbes of industrial economic activity. The new methodology highlights the risks of variable selection in a VAR framework. The methodology is applied to investigate the performance of the OECD composite leading in forecasting industrial production in four European countries.

Suggested Citation

  • Dr Martin Weale & Gonzalo Camba-Mendez & George Kapetanios & Ray Smith, 1999. "The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy," National Institute of Economic and Social Research (NIESR) Discussion Papers 155, National Institute of Economic and Social Research.
  • Handle: RePEc:nsr:niesrd:187
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    Cited by:

    1. Joseph P. Byrne & E. Philip Davis, 2005. "Investment and Uncertainty in the G7," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(1), pages 1-32, April.
    2. Michael McMahon & Gabriel Sterne & Jamie Thompson, 2005. "The role of ICT in the global investment cycle," Bank of England working papers 257, Bank of England.
    3. Florian Pelgrin & Sebastian Schich, 2002. "Panel Cointegration Analysis of the Finance-Investment Link in OECD Countries," Documents de Travail de l'OFCE 2002-02, Observatoire Francais des Conjonctures Economiques (OFCE).
    4. Mickaël Clévenot & Yann Guy & Jacques Mazier, 2009. "Equity and debt in a financialised economy: the French case," Working Papers hal-00435685, HAL.
    5. Davis, E. Philip & Stone, Mark R., 2004. "Corporate financial structure and financial stability," Journal of Financial Stability, Elsevier, vol. 1(1), pages 65-91, September.
    6. Davis, E. Philip, 2002. "Institutional investors, corporate governance and the performance of the corporate sector," Economic Systems, Elsevier, vol. 26(3), pages 203-229, September.
    7. Yann Guy, 2010. "Industrial Major Firms Investments in a Financialized Context," Working Papers hal-00402021, HAL.

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