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Forecasting and Analyzing Economic Activity with Coincident and Leading Indexes: The Case of Connecticut

  • Pami Dua

    (University of Connecticut)

  • Stephen Miller

    (University 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.

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File URL: http://web2.uconn.edu/economics/working/1995-05.pdf
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Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 1995-05.

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Length: 32 pages
Date of creation: Jun 1995
Date of revision:
Publication status: published in Journal of Forecasting, December 1996
Handle: RePEc:uct:uconnp:1995-05
Contact details of provider: Postal: University of Connecticut 365 Fairfield Way, Unit 1063 Storrs, CT 06269-1063
Phone: (860) 486-4889
Fax: (860) 486-4463
Web page: http://www.econ.uconn.edu/

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  1. 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.
  2. Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  4. 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.
  5. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis.
  6. 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.
  7. Christopher A. Sims, 1988. "Bayesian skepticism on unit root econometrics," Discussion Paper / Institute for Empirical Macroeconomics 3, Federal Reserve Bank of Minneapolis.
  8. 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.
  9. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
  10. 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.
  11. Cullity, John P., 1993. "Monitoring business conditions at the CIBCR," International Journal of Forecasting, Elsevier, vol. 9(1), pages 39-48, April.
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