An Examination of the Commerce Department Leading-lndicator Approach

Paul D. Koch · Robert H. Rasche

29 citations0/0 files storedJournal of Business and Economic Statistics

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

Abstract

Bivariate time series models are built that describe the empirical relationships between industrial production and components of the Composite Index of Leading Indicators (CLI). This reveals the indicators' average lead times at all points of the business cycle, the forms of the distributed lags involved, and their ability to explain later movements in economic activity. The relationship between industrial production and the CLI is also examined and used to test the contribution of the CLI toward improving time series model forecasts of the 1980 and 1981 recessions.

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1977Time Series Analysis: Forecasting and Control 1977Time Series Analysis: Forecasting and Control 1947Measurement Without Theory 1991A probability model of the coincident economic indicators 1979Lead-Lag Relations, Exogeneity and Prediction of Economic Time Series 1973On the Use of Leading Indicators to Predict Cyclical Turning Points 1981The Index of Leading Indicators: "Measurement without Theory," Twenty-Five Years Later 1975Econometric Models of Cyclical Behavior.

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