What Do the Leading Indicators Lead?
The authors find that the composite leading index (CLI) is useful for forecasting gross national product (GNP), both in sample and in an out-of-sample real-time exercise. They propose a nonlinear specification in which cyclical shifts of the CLI precede those in GNP. However, the authors find that better forecasts are provided by a simple linear relation between current GNP growth and the growth rate of the CLI during the previous quarter along with an error-correction term corresponding to the previous quarter's logarithmic difference between the level of the CLI and the level of GNP. Copyright 1996 by University of Chicago Press.
Year of publication: |
1996
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Authors: | Hamilton, James D ; Perez-Quiros, Gabriel |
Published in: |
The Journal of Business. - University of Chicago Press. - Vol. 69.1996, 1, p. 27-49
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Publisher: |
University of Chicago Press |
Saved in:
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