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 differences in the leading indexes
Carriero A, Marcellino M. (2007). A comparison of methods for the construction of composite coincident and leading indexes for the UK. INTERNATIONAL JOURNAL OF FORECASTING, 23, 219-236 [http://dx.doi.org/10.1016/j.ijforecast.2007.01.005].
A comparison of methods for the construction of composite coincident and leading indexes for the UK
Carriero A;
2007
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 differences in the leading indexesI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
