English, Article, Journal or magazine article edition: The Composite Index of Leading Economic Indicators: How to Make it More Timely Robert H. McGuckin; Ataman Ozyildirim; Victor Zarnowitz

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Bookmark: http://trove.nla.gov.au/version/11696
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Composite Index of Leading Economic Indicators: How to Make it More Timely
Author
  • Robert H. McGuckin
  • Ataman Ozyildirim
  • Victor Zarnowitz
Physical Description
  • preprint
Notes
  • RePEc:nbr:nberwo:8430
  • A major shortcoming of the U.S. leading index is that it does not use the most recent information for stock prices and yield spreads. The index methodology ignores these data in favor of a time-consistent set of components (i.e., all of the components must refer to the previous month). An alternative is to bring the series with publication lags up-to-date with forecasts and create an index with a complete set of most recent components. This study uses tests of ex-ante predictive ability of the U.S. leading index to evaluate the gains to this new "hot box" procedure of statistical imputation. We find that, across a variety of simple forecasting models, the new approach offers substantial improvements.
  • business cycle, indicators, leading index, times series, forecasting
  • RePEc:cnf:wpaper:0004
Language
  • English
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