Time Series Modeling and the Forecasting Effectiveness of the U.S. Leading Economic Indicators

John B. Guerard and Eli Schwartz
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John B. Guerard: McKinley Capital Management, Inc.
Eli Schwartz: Lehigh University

Chapter Chapter 13 in Quantitative Corporate Finance, 2007, pp 303-336 from Springer

Abstract: Abstract An important aspect of financial decision making may depend on the forecasting effectiveness of the composite index of leading economic indicators, LEI. The leading indicators can be used as an input to a transfer function model of real Gross Domestic Product, GDP. The previous chapter employed four quarterly lags of the LEI series to estimate regression models of association between current rates of growth of real US GDP and the composite index of leading economic indicators.

Date: 2007
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DOI: 10.1007/978-0-387-34465-2_13

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