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The Composite Index of Leading Economic Indicators: How to Make It More Timely / Robert H. McGuckin, Ataman Ozyildirim, Victor Zarnowitz.
- Format:
- Book
- Author/Creator:
- McGuckin, Robert H.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w8430.
- NBER working paper series no. w8430
- Language:
- English
- Subjects (All):
- Economic forecasting--United States.
- Economic forecasting.
- Economic indicators--United States.
- Economic indicators.
- Stock price forecasting--United States.
- Stock price forecasting.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- The Composite Index of Leading Economic Indicators
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2001.
- Cambridge, Massachusetts : National Bureau of Economic Research, 2001.
- Summary:
- A major shortcoming of the U.S. leading index is that it does not use the most recent information for stock prices and yield spreads. The index methodology ignores these data in favor of a time-consistent set of components (i.e., all of the components must refer to the previous month). An alternative is to bring the series with publication lags up-to-date with forecasts and create an index with a complete set of most recent components. This study uses tests of ex-ante predictive ability of the U.S. leading index to evaluate the gains to this new 'hot box' procedure of statistical imputation. We find that, across a variety of simple forecasting models, the new approach offers substantial improvements.
- Notes:
- Print version record
- August 2001.
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