CAMBA-MENDEZ, GONZALO; KAPETANIOS, GEORGE; SMITH, RICHARD J. - In: Econometrics Journal 4 (2001) 1, pp. 37-37
In the construction of a leading indicator model of economic activity, economists must select among a pool of variables which lead output growth. Usually the pool of variables is large and a selection of a subset must be carried out. This paper proposes an automatic leading indicator model...