A More Timely and Useful Index of Leading Indicators

Robert McGuckin, Ataman Ozyildirim and Victor Zarnowitz ()
Additional contact information
Robert McGuckin: The Conference Board
Victor Zarnowitz: The Conference Board

No 03-01, Economics Program Working Papers from The Conference Board, Economics Program

Abstract: Effectively predicting cyclical movements in the economy is a major challenge. While there are other approaches to forecasting, the U.S. leading index has long been used to analyze and predict economic fluctuations. We describe and test a new procedure for making the index more timely. The new index significantly outperforms its less timely counterpart and offers substantial gains in real-time out-of-sample forecasts of changes in aggregate economic activity and industrial production. It provides timely and accurate ex-ante information for predicting, not only the business cycle turning points, but the monthly changes in the economy.

Keywords: business cycle; forecasting; indicators; leading index; times series (search for similar items in EconPapers)
Pages: 37 pages
Date: 2003-02
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Citations: View citations in EconPapers (11)

Published in Journal of Business & Economic Statistics, Vol. 25, No. 1, January 2007, pp. 110-20.

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http://www.conference-board.org/economics/workingpapers.cfm?pdf=E-0010-03-WP Revised version, 2003 (application/pdf)

Related works:
Journal Article: A More Timely and Useful Index of Leading Indicators (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:cnf:wpaper:0301

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