What do the leading indicators lead?
What do the leading indicators lead?
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DOI：
10.1086/209678
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发表时间：
1996-01-01
影响因子：
--
通讯作者：
PerezQuiros, G
中科院分区：
文献类型：
--
作者：
Hamilton, JD;PerezQuiros, G
我们发现，综合领先指数（CLI）是有用的预测国民生产总值（GNP），无论是在样本和样本外的实时练习。我们提出了一个非线性规范，其中CLI的周期性变化在GNP之前。然而，我们发现，当前GNP增长率与上一季度沿着CLI增长率之间的简单线性关系，以及与上一季度CLI水平与GNP水平之间的对数差相对应的误差修正项，可以提供更好的预测。
We 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. We propose a nonlinear specification in which cyclical shifts of the CLI precede those in GNP. However, we find that better forecasts 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.