This is what the leading indicators lead

Maximo Camacho Y · Gabriel Pérez‐Quirós

69 citations0/0 files storedJournal of Applied Econometrics

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Unemployment and Economic Growth

Abstract

Abstract We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, non‐parametric models and conclude that a combination of the switching regimes and non‐parametric forecasts is the best strategy at predicting both the NBER business cycle schedule and GDP growth. This confirms the usefulness of CLI, even in a real‐time analysis. Copyright © 2002 John Wiley & Sons, Ltd.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1988Testing for Common Trends 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators 1984Improved methods of combining forecasts 1994Business-Cycle Phases and Their Transitional Dynamics 1993Business Cycles, Indicators, and Forecasting 1991Forecasting Output with the Composite Leading Index: A Real-Time Analysis

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