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| Tekijä: | Hamilton, J. Perez-Quiros, G. |
| Otsikko: | What do the leading indicators lead? |
| Lehti: | Journal of Business
1996 : JAN, VOL. 69:1, p. 27-50 |
| Asiasana: | LEADERSHIP GROWTH INDUSTRIES |
| Kieli: | eng |
| Tiivistelmä: | The authors find that the composite leading index (CLI) is useful for forecasting gross national product (GNP) both in sample and in an out-of-sample real-time exercise. The authors propose a non-linear specification in which cyclical shifts of the CLI precede those in GNP. However, the authors find that better forecasts are are provided by a simple linear relation between current GNP growth and the growth rate of the CLI during the previous quarter along with an error-correction term corresponding to the previous quarter's logarithmic difference between the level of the CLI and the level of GNP. |
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