This is what the US leading indicators lead

Maximo Camacho and Gabriel Perez Quiros

No 27, Working Paper Series from European Central Bank

Abstract: We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyze the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, nonparametric models and conclude that a combination of the switching regimes and nonparametric forecasts is the best strategy at predicting both the NBER business cycle schedule and GDP growth. This confirms the usefulness of CLI, even in a real-time analysis. JEL Classification: C32, C53

Keywords: Leading indicators; optimal forecasting rule; turning points (search for similar items in EconPapers)
Date: 2000-08
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp027.pdf (application/pdf)

Related works:
Journal Article: This is what the leading indicators lead (2002)
Working Paper: This is What Leading Indicators Lead (2000)
Working Paper: THIS IS WHAT THE LEADING INDICATORS LEAD (2000)
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: https://EconPapers.repec.org/RePEc:ecb:ecbwps:200027

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().