Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62916
Authors: 
Carriero, Andrea
Marcellino, Massimiliano
Year of Publication: 
2007
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 590
Abstract: 
In this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the construction of coincident and leading indexes. For the leading indexes we also evaluate the performance of probit models and pooling. The results indicate that alternative methods produce similar coincident indexes, while there are more marked di.erences in the leading indexes.
Subjects: 
Forecasting, Business cycles, Leading indicators, Coincident indicators, Turning points
JEL: 
E32
E37
C53
Document Type: 
Working Paper

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