Hamilton, James D; Perez-Quiros, Gabriel - In: The Journal of Business 69 (1996) 1, pp. 27-49
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...