IDEAS home Printed from https://ideas.repec.org/p/nsr/niesrd/193.html
   My bibliography  Save this paper

An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries

Author

Listed:
  • Dr Martin Weale

    ()

Abstract

In the construction of a leading indicator model of economic activity, economists must select among a pool of variables which lead output growth. Usually the pool of variables is large, and selection of a subset must be carried out. In this paper we propose an `Automatic Leading Indicator' model. Rather than preselection, we use a dynamic factor model to summarise the information content of a pool of variables. Results show that the forecasting performance of our `Automatic Leading Indicator' model is significantly better than that of traditional model selection criteria with VAR models. This study is carried out using quaterly data for France, Germany, Italy and the United Kingdom.

Suggested Citation

  • Dr Martin Weale, 1999. "An Automatic Leading Indicator of Economic Activity: Forecasting GDP Growth for European Countries," National Institute of Economic and Social Research (NIESR) Discussion Papers 149, National Institute of Economic and Social Research.
  • Handle: RePEc:nsr:niesrd:193
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nsr:niesrd:193. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Library & Information Manager). General contact details of provider: http://edirc.repec.org/data/niesruk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.