Title: Forecasting GDP with the Leading Indicators: A VAR Approach
Abstract: The Conference Board's Leading Economic Indicators Index suffers from construction flaws, which reduce its predictive power as well as one's ability to interpret its signals. This paper develops a vector autoregression model to address these problems. The model's out-of-sample GDP forecasts, using revised data, are found to outperform other private-sector forecasters on average over the period considered.
Publication Year: 2009
Publication Date: 2009-01-01
Language: en
Type: article
Indexed In: ['crossref']
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