tailieunhanh - Handbook of Economic Forecasting part 92

Handbook of Economic Forecasting part 92. Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing | 884 M. Marcellino index and its components rather than the final releases. Second the assessment of the relative performance of the new more sophisticated models for the coincident-leading indicators. Third the evaluation of financial variables as leading indicators. Finally the analysis of the behavior of the leading indicators during the two most recent US recessions as dated by the NBER namely July 1990-March 1991 and March 2001-November 2001. To conclude in Section 11 we summarize what we have learned about leading indicators in the recent past and suggest directions for further research in this interesting and promising field of forecasting. 2. Selection of the target and leading variables The starting point for the construction of leading indicators is the choice of the target variable namely the variable that the indicators are supposed to lead. Such a choice is discussed in the first subsection. Once the target variable is identified the leading indicators have to be selected and we discuss selection criteria in the second subsection. . Choice of target variable Burns and Mitchell 1946 p. 3 proposed that .a cycle consists of expansions occurring at about the same time in many economic activities. Yet later on in the same book p. 72 they stated Aggregate activity can be given a definite meaning and made conceptually measurable by identifying it with gross national product. These quotes underlie the two most common choices of target variable either a single indicator that is closely related to GDP but available at the monthly level or a composite index of coincident indicators. GDP could provide a reliable summary of the current economic conditions if it were available on a monthly basis. Though both in the US and in Europe there is a growing interest in increasing the sampling frequency of GDP from quarterly to monthly the current results are still too preliminary to rely on. In the past industrial production provided a good proxy for the fluctuations of