A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK

Andrea Carriero () and Massimiliano Marcellino

No 590, Working Papers from Queen Mary, University of London, Department of Economics

Abstract: In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the construction of coincident and leading indexes. For the leading indexes we also evaluate the performance of probit models and pooling. The results indicate that alternative methods produce similar coincident indexes, while there are more marked di.erences in the leading indexes.

Keywords: Forecasting; Business cycles; Leading indicators; Coincident indicators; Turning points (search for similar items in EconPapers)
JEL-codes: E32 E37 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec, nep-ets, nep-for and nep-mac
Date: 2007-03
View citations in EconPapers

Downloads: (external link)
http://www.econ.qmul.ac.uk/papers/doc/wp590.pdf (application/pdf)

Related works:
Journal Article: A comparison of methods for the construction of composite coincident and leading indexes for the UK (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:qmw:qmwecw:wp590

Access Statistics for this paper

More papers in Working Papers from Queen Mary, University of London, Department of Economics
Contact information at EDIRC.
Series data maintained by Nick Vriend ().