Forecasting and Analyzing Economic Activity with Coincident and Leading Indexes: The Case of Connecticut
We develop coincident and leading employment indexes for the Connecticut economy. Four employment-related variables enter the coincident index while five employment-related variables enter the leading index. The peaks and troughs in the leading index lead the peaks and troughs in the coincident index by an average of 3 and 9 months. Finally, we use the leading index in vector-autoregressive (VAR) and Bayesian vector-autoregressive (BVAR) models to forecast the coincident index, nonfarm employment, and the unemployment rate.
|Date of creation:||Jun 1995|
|Date of revision:|
|Publication status:||published in Journal of Forecasting, December 1996|
|Contact details of provider:|| Postal: |
Phone: (860) 486-4889
Fax: (860) 486-4463
Web page: http://www.econ.uconn.edu/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Dua, Pami & Miller, Stephen M, 1996. "Forecasting Connecticut Home Sales in a BVAR Framework Using Coincident and Leading Indexes," The Journal of Real Estate Finance and Economics, Springer, vol. 13(3), pages 219-35, November.
- Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Zarnowitz, Victor & Moore, Geoffrey H, 1982. "Sequential Signals of Recession and Recovery," The Journal of Business, University of Chicago Press, vol. 55(1), pages 57-85, January.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986.
"Forecasting and conditional projection using realistic prior distribution,"
93, Federal Reserve Bank of Minneapolis.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Christopher A. Sims, 1988.
"Bayesian skepticism on unit root econometrics,"
Discussion Paper / Institute for Empirical Macroeconomics
3, Federal Reserve Bank of Minneapolis.
- Tom Doan, . "BAYESTST: RATS procedure to perform Bayesian Unit Root test," Statistical Software Components RTS00014, Boston College Department of Economics.
- Litterman, Robert B, 1986.
"Forecasting with Bayesian Vector Autoregressions-Five Years of Experience,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 4(1), pages 25-38, January.
- Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis.
- Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
- 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.
- Cullity, John P., 1993. "Monitoring business conditions at the CIBCR," International Journal of Forecasting, Elsevier, vol. 9(1), pages 39-48, April.
When requesting a correction, please mention this item's handle: RePEc:uct:uconnp:1995-05. 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: (Francis Ahking)
If references are entirely missing, you can add them using this form.