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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:155
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    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. repec:hum:wpaper:sfb649dp2008-017 is not listed on IDEAS
    3. Blaskowitz, Oliver J. & Herwartz, Helmut, 2008. "Adaptive forecasting of the EURIBOR swap term structure," SFB 649 Discussion Papers 2008-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Hahn, Elke & de Bondt, Gabe, 2010. "Predicting recessions and recoveries in real time: The euro area-wide leading indicator (ALI)," Working Paper Series 1246, European Central Bank.
    5. Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2011. "Forecasting breaks and forecasting during breaks," Economics Series Working Papers 535, University of Oxford, Department of Economics.
    6. Fichtner, Ferdinand & Rüffer, Rasmus & Schnatz, Bernd, 2009. "Leading indicators in a globalised world," Working Paper Series 1125, European Central Bank.

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