1887

Journal of Business Cycle Measurement and Analysis

The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

English

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 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 ...

English

Keywords: Business cycle, Leading index, Forecasting, Times series, Indicators
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