This is what the leading indicators lead

Maximo Camacho () and Gabriel Perez-Quiros
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Gabriel Perez-Quiros: Oficina de Estudios Monetarios y Financieros, Unidad de Investigacion, Servicio de Estudios, Banco de Espana, Alcala 50, 28014 Madrid, Spain, Postal: Oficina de Estudios Monetarios y Financieros, Unidad de Investigacion, Servicio de Estudios, Banco de Espana, Alcala 50, 28014 Madrid, Spain
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

Journal of Applied Econometrics, 2002, vol. 17, issue 1, pages 61-80

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.

Date: 2002
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Working Paper: THIS IS WHAT THE LEADING INDICATORS LEAD (2000)
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