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 Artikel |
| Sprache: | English |
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Paris
OECD Publishing
2004
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| 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 p.) |
| DOI: | 10.1787/jbcma-v2004-art11-en |
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| spelling | McGuckin, Robert H... VerfasserIn 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 p.) Text txt rdacontent Computermedien c rdamedia Online-Ressource 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 MitwirkendeR ctb Enthalten in Journal of Business Cycle Measurement and Analysis Vol. 2004, no. 2, p. 171-191 volume:2004 year:2004 number:2 pages:171-191 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-v2004-art11-en 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_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 |
| work_keys_str_mv | AT mcguckinroberth realtimetestsoftheleadingeconomicindexdochangesintheindexcompositionmatter AT ozyildirimataman realtimetestsoftheleadingeconomicindexdochangesintheindexcompositionmatter |