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Forecasting and Analyzing Economic Activity with Coincident and Leading Indexes: The Case of Connecticut

Pami Dua () and Stephen Miller ()

No 1995-05, Working papers from University of Connecticut, Department of Economics

Abstract: We develop coincident and leading employment indexes for the Connecticut economy. Four employment-related variables enter the coincident index while five employment-related variables enter the leading index. The peaks and troughs in the leading index lead the peaks and troughs in the coincident index by an average of 3 and 9 months. Finally, we use the leading index in vector-autoregressive (VAR) and Bayesian vector-autoregressive (BVAR) models to forecast the coincident index, nonfarm employment, and the unemployment rate.

Keywords: coincident index; leading index; VAR and BVAR forecasts (search for similar items in EconPapers)
Date: 1995-06
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Published in Journal of Forecasting, December 1996

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Handle: RePEc:uct:uconnp:1995-05