Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?
In an important paper, Diebold and Rudebusch (1991) find that, despite good performance for post revision historical versions, the U.S. Index of Leading Economic Indicators (LEI) fails to improve forecasts in real time out-of-sample tests. This paper revisits the issue of real-time performance of th...
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| Format: | Elektronisch Buchkapitel |
| Sprache: | English |
| Veröffentlicht: |
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OECD Publishing
2004
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| Online-Zugang: | 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 |
| Zusammenfassung: | In an important paper, Diebold and Rudebusch (1991) find that, despite good performance for post revision historical versions, the U.S. Index of Leading Economic Indicators (LEI) fails to improve forecasts in real time out-of-sample tests. This paper revisits the issue of real-time performance of the LEI using growth rate forecast specifications. We contrast real-time out-of-sample tests of LEI forecasts using "composition-changing" or "as-published" versions of the LEI with those based on "composition-constant" indexes. The goal is ... |
| Beschreibung: | 1 Online-Ressource (28 Seiten) |
| DOI: | 10.1787/jbcma-v2004-art11-en |
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| spelling | McGuckin, Robert H... Verfasser aut Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? Robert H. McGuckin and Ataman Ozyildirim Paris OECD Publishing 2004 1 Online-Ressource (28 Seiten) txt rdacontent c rdamedia cr rdacarrier In an important paper, Diebold and Rudebusch (1991) find that, despite good performance for post revision historical versions, the U.S. Index of Leading Economic Indicators (LEI) fails to improve forecasts in real time out-of-sample tests. This paper revisits the issue of real-time performance of the LEI using growth rate forecast specifications. We contrast real-time out-of-sample tests of LEI forecasts using "composition-changing" or "as-published" versions of the LEI with those based on "composition-constant" indexes. The goal is ... Economics Ozyildirim, Ataman ctb https://doi.org/10.1787/jbcma-v2004-art11-en Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | McGuckin, Robert H.. Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? Economics |
| title | Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? |
| title_auth | Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? |
| title_exact_search | Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? |
| title_exact_search_txtP | Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? |
| title_full | Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? Robert H. McGuckin and Ataman Ozyildirim |
| title_fullStr | Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? Robert H. McGuckin and Ataman Ozyildirim |
| title_full_unstemmed | Real-Time Tests of the Leading Economic Index Do Changes in the Index Composition Matter? Robert H. McGuckin and Ataman Ozyildirim |
| title_short | Real-Time Tests of the Leading Economic Index |
| title_sort | real time tests of the leading economic index do changes in the index composition matter |
| title_sub | Do Changes in the Index Composition Matter? |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/jbcma-v2004-art11-en |
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