McGuckin, Robert H.; Ozyildirim, Ataman - In: Journal of Business Cycle Measurement and Analysis 2004 (2004) 2, pp. 171-191
In an important paper, Diebold and Rudebusch (1991) find that, despite good performance for post revision historical versions, the U.S. Index of Leading Economic Indicators (LEI) fails to improve forecasts in real time out-of-sample tests. This paper revisits the issue of real-time performance...
