Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/114448
Authors: 
Siliverstovs, Boriss
Year of Publication: 
2015
Series/Report no.: 
KOF Working Papers, KOF Swiss Economic Institute, ETH Zurich 376
Abstract: 
We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five enter the total index with differentiated weights, which were specified for its American counterpart about thirty years ago. In this paper, we address the question whether the current fixed weighting scheme of the PMI components is supported by the data. We find that the relative weights of the PMI components are generally supported by the data, except the fact that one component, found very informative for explaining GDP growth, is currently omitted from the PMI composition.
Subjects: 
GDP growth
MIDAS
LASSO
MIDASSO
PMI
real-time data
Switzerland
JEL: 
C22
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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