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A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK

Andrea Carriero and Massimiliano Marcellino

No 590, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the construction of coincident and leading indexes. For the leading indexes we also evaluate the performance of probit models and pooling. The results indicate that alternative methods produce similar coincident indexes, while there are more marked di.erences in the leading indexes.

Keywords: Forecasting; Business cycles; Leading indicators; Coincident indicators; Turning points (search for similar items in EconPapers)
JEL-codes: E32 E37 C53 (search for similar items in EconPapers)
Date: 2007-03-01
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Related works:
Journal Article: A comparison of methods for the construction of composite coincident and leading indexes for the UK (2007) Downloads
Working Paper: A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK (2007) Downloads
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