Out-of-sample Performance of Leading Indicators for the German Business Cycle: Single vs. Combined Forecasts
In this paper the forecasting performance of popular leading indicators for the German business cycle is investigated. Survey based indicators (ifo business climate, ZEW index of economic sentiment) and composite leading indicators (Handelsblatt, Frankfurter Allgemeine Zeitung, Commerzbank) are cons...
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| Format: | Electronic Book Chapter |
| Language: | English |
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Paris
OECD Publishing
2005
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| Subjects: | |
| Online Access: | DE-384 DE-473 DE-824 DE-29 DE-739 DE-355 DE-20 DE-1028 DE-1049 DE-521 DE-861 DE-898 DE-92 DE-91 DE-573 DE-19 Volltext |
| Summary: | In this paper the forecasting performance of popular leading indicators for the German business cycle is investigated. Survey based indicators (ifo business climate, ZEW index of economic sentiment) and composite leading indicators (Handelsblatt, Frankfurter Allgemeine Zeitung, Commerzbank) are considered. The analysis points to a significant relationship of the indicators to the business cycle within the sample period, as measured by the direction of causality. But, their out-of-sample forecasts do not improve the autoregressive benchmark. This result may be caused by structural breaks in the out-of-sample period. As combinations of forecasts tend to be more robust against such shifts, pooled forecasts are constructed using different methods of aggregation, including linear combinations of forecasts and common factor models. In contrast to the single indicator approach, the combined indicator forecasts are able to beat the benchmark at each forecasting horizon. Therefore, the analysis points to the usefulness of pooling information in order to get more reliable forecasts |
| Physical Description: | 1 Online-Ressource (17 Seiten) 16 x 23cm |
| DOI: | 10.1787/jbcma-2005-5km7v183qs0v |
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| spelling | Dreger, Christian Verfasser aut Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts Christian Dreger and Christian Schumacher Paris OECD Publishing 2005 1 Online-Ressource (17 Seiten) 16 x 23cm txt rdacontent c rdamedia cr rdacarrier In this paper the forecasting performance of popular leading indicators for the German business cycle is investigated. Survey based indicators (ifo business climate, ZEW index of economic sentiment) and composite leading indicators (Handelsblatt, Frankfurter Allgemeine Zeitung, Commerzbank) are considered. The analysis points to a significant relationship of the indicators to the business cycle within the sample period, as measured by the direction of causality. But, their out-of-sample forecasts do not improve the autoregressive benchmark. This result may be caused by structural breaks in the out-of-sample period. As combinations of forecasts tend to be more robust against such shifts, pooled forecasts are constructed using different methods of aggregation, including linear combinations of forecasts and common factor models. In contrast to the single indicator approach, the combined indicator forecasts are able to beat the benchmark at each forecasting horizon. Therefore, the analysis points to the usefulness of pooling information in order to get more reliable forecasts Economics Germany Schumacher, Christian ctb https://doi.org/10.1787/jbcma-2005-5km7v183qs0v Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Dreger, Christian Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts Economics Germany |
| title | Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts |
| title_auth | Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts |
| title_exact_search | Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts |
| title_exact_search_txtP | Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts |
| title_full | Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts Christian Dreger and Christian Schumacher |
| title_fullStr | Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts Christian Dreger and Christian Schumacher |
| title_full_unstemmed | Out-of-sample Performance of Leading Indicators for the German Business Cycle Single vs. Combined Forecasts Christian Dreger and Christian Schumacher |
| title_short | Out-of-sample Performance of Leading Indicators for the German Business Cycle |
| title_sort | out of sample performance of leading indicators for the german business cycle single vs combined forecasts |
| title_sub | Single vs. Combined Forecasts |
| topic | Economics Germany |
| topic_facet | Economics Germany |
| url | https://doi.org/10.1787/jbcma-2005-5km7v183qs0v |
| work_keys_str_mv | AT dregerchristian outofsampleperformanceofleadingindicatorsforthegermanbusinesscyclesinglevscombinedforecasts AT schumacherchristian outofsampleperformanceofleadingindicatorsforthegermanbusinesscyclesinglevscombinedforecasts |