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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Weitere Verfasser: | |
| Format: | Elektronisch Artikel |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2005
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 Online-Ressource (17 p.) 16 x 23cm. |
| DOI: | 10.1787/jbcma-2005-5km7v183qs0v |
Internformat
MARC
| LEADER | 00000caa a22000002 4500 | ||
|---|---|---|---|
| 001 | ZDB-13-SOC-061318876 | ||
| 003 | DE-627-1 | ||
| 005 | 20231204121543.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 210204s2005 xx |||||o 00| ||eng c | ||
| 024 | 7 | |a 10.1787/jbcma-2005-5km7v183qs0v |2 doi | |
| 035 | |a (DE-627-1)061318876 | ||
| 035 | |a (DE-599)KEP061318876 | ||
| 035 | |a (FR-PaOEC)jbcma-2005-5km7v183qs0v | ||
| 035 | |a (EBP)061318876 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 100 | 1 | |a Dreger, Christian |e VerfasserIn |4 aut | |
| 245 | 1 | 0 | |a Out-of-sample Performance of Leading Indicators for the German Business Cycle |b Single vs. Combined Forecasts |c Christian, Dreger and Christian, Schumacher |
| 264 | 1 | |a Paris |b OECD Publishing |c 2005 | |
| 300 | |a 1 Online-Ressource (17 p.) |c 16 x 23cm. | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 520 | |a 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. | ||
| 650 | 4 | |a Economics | |
| 650 | 4 | |a Germany | |
| 700 | 1 | |a Schumacher, Christian |e MitwirkendeR |4 ctb | |
| 773 | 0 | 8 | |i Enthalten in |t Journal of Business Cycle Measurement and Analysis |g Vol. 2005, no. 1, p. 71-87 |
| 773 | 1 | 8 | |g volume:2005 |g year:2005 |g number:1 |g pages:71-87 |
| 856 | 4 | 0 | |l FWS01 |p ZDB-13-SOC |q FWS_PDA_SOC |u https://doi.org/10.1787/jbcma-2005-5km7v183qs0v |3 Volltext |
| 912 | |a ZDB-13-SOC | ||
| 912 | |a ZDB-13-SOC-article | ||
| 912 | |a ZDB-13-SOC | ||
| 951 | |a AR | ||
| 912 | |a ZDB-13-SOC | ||
| 049 | |a DE-863 | ||
Datensatz im Suchindex
| DE-BY-FWS_katkey | ZDB-13-SOC-061318876 |
|---|---|
| _version_ | 1816797351688273920 |
| adam_text | |
| any_adam_object | |
| author | Dreger, Christian |
| author2 | Schumacher, Christian |
| author2_role | ctb |
| author2_variant | c s cs |
| author_facet | Dreger, Christian Schumacher, Christian |
| author_role | aut |
| author_sort | Dreger, Christian |
| author_variant | c d cd |
| building | Verbundindex |
| bvnumber | localFWS |
| collection | ZDB-13-SOC ZDB-13-SOC-article |
| ctrlnum | (DE-627-1)061318876 (DE-599)KEP061318876 (FR-PaOEC)jbcma-2005-5km7v183qs0v (EBP)061318876 |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1787/jbcma-2005-5km7v183qs0v |
| format | Electronic Article |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02455caa a22003852 4500</leader><controlfield tag="001">ZDB-13-SOC-061318876</controlfield><controlfield tag="003">DE-627-1</controlfield><controlfield tag="005">20231204121543.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">210204s2005 xx |||||o 00| ||eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1787/jbcma-2005-5km7v183qs0v</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627-1)061318876</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)KEP061318876</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(FR-PaOEC)jbcma-2005-5km7v183qs0v</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(EBP)061318876</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Dreger, Christian</subfield><subfield code="e">VerfasserIn</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Out-of-sample Performance of Leading Indicators for the German Business Cycle</subfield><subfield code="b">Single vs. Combined Forecasts</subfield><subfield code="c">Christian, Dreger and Christian, Schumacher</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Paris</subfield><subfield code="b">OECD Publishing</subfield><subfield code="c">2005</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (17 p.)</subfield><subfield code="c">16 x 23cm.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Germany</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Schumacher, Christian</subfield><subfield code="e">MitwirkendeR</subfield><subfield code="4">ctb</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Journal of Business Cycle Measurement and Analysis</subfield><subfield code="g">Vol. 2005, no. 1, p. 71-87</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:2005</subfield><subfield code="g">year:2005</subfield><subfield code="g">number:1</subfield><subfield code="g">pages:71-87</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="l">FWS01</subfield><subfield code="p">ZDB-13-SOC</subfield><subfield code="q">FWS_PDA_SOC</subfield><subfield code="u">https://doi.org/10.1787/jbcma-2005-5km7v183qs0v</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC-article</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-13-SOC</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-863</subfield></datafield></record></collection> |
| id | ZDB-13-SOC-061318876 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:56:12Z |
| institution | BVB |
| language | English |
| open_access_boolean | |
| owner | DE-863 DE-BY-FWS |
| owner_facet | DE-863 DE-BY-FWS |
| physical | 1 Online-Ressource (17 p.) 16 x 23cm. |
| psigel | ZDB-13-SOC ZDB-13-SOC-article |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | OECD Publishing |
| record_format | marc |
| spelling | Dreger, Christian VerfasserIn 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 p.) 16 x 23cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource 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 MitwirkendeR ctb Enthalten in Journal of Business Cycle Measurement and Analysis Vol. 2005, no. 1, p. 71-87 volume:2005 year:2005 number:1 pages:71-87 FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/jbcma-2005-5km7v183qs0v 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_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 |