In search of leading indicators of economic activity in Germany

Michael Funke and Harm Bandholz
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Harm Bandholz: Department of Economics, Hamburg University, Germany, Postal: Department of Economics, Hamburg University, Germany

Journal of Forecasting, 2003, vol. 22, issue 4, 277-297

Abstract: In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtained optimal inferences of business cycle turning points indicate that the two-state regime switching procedure leads to a successful representation of the sample data and provides an appropriate tool for forecasting business conditions. Copyright © 2003 John Wiley & Sons, Ltd.

Date: 2003
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Citations: View citations in EconPapers (26)

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Related works:
Working Paper: In Search of Leading Indicators of Economic Activity in Germany (2003)
Working Paper: In Search of Leading Indicators of Economic Activity in Germany (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:22:y:2003:i:4:p:277-297

DOI: 10.1002/for.862

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