Forecasting US output growth using leading indicators: an appraisal using MIDAS models
Michael Clements and
Ana Galvão ()
Journal of Applied Econometrics, 2009, vol. 24, issue 7, 1187-1206
We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple individual leading indicators in a parsimonious way and to directly exploit the information content of the monthly series to predict quarterly output growth. When we use real‐time vintage data, the indicators are found to have significant predictive ability, and this is further enhanced by the use of monthly data on the quarter at the time the forecast is made. Copyright © 2009 John Wiley & Sons, Ltd.
References: Add references at CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed
Downloads: (external link)
Journal Article: Forecasting US output growth using leading indicators: an appraisal using MIDAS models (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:japmet:v:24:y:2009:i:7:p:1187-1206
Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252
Access Statistics for this article
Journal of Applied Econometrics is currently edited by M. Hashem Pesaran
More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().