Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152461
Authors: 
Camacho, Maximo
Pérez Quirós, Gabriel
Year of Publication: 
2000
Series/Report no.: 
ECB Working Paper 27
Abstract: 
We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyze the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, nonparametric models and conclude that a combination of the switching regimes and nonparametric forecasts is the best strategy at predicting both the NBER business cycle schedule and GDP growth. This confirms the usefulness of CLI, even in a real-time analysis.
Subjects: 
leading indicators
optimal forecasting rule
turning points
JEL: 
C32
C53
Document Type: 
Working Paper

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