{"title":"用先行指标预测GDP: VAR方法","authors":"R. Kahan","doi":"10.2139/ssrn.2606393","DOIUrl":null,"url":null,"abstract":"The Conference Board’s Leading Economic Indicators Index suffers from construction flaws, which reduce its predictive power as well as one’s ability to interpret its signals. This paper develops a vector autoregression model to address these problems. The model’s out-of-sample GDP forecasts, using revised data, are found to outperform other private-sector forecasters on average over the period considered.","PeriodicalId":308524,"journal":{"name":"ERN: Other Econometrics: Applied Econometric Modeling in Forecasting (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Forecasting GDP with the Leading Indicators: A VAR Approach\",\"authors\":\"R. Kahan\",\"doi\":\"10.2139/ssrn.2606393\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Conference Board’s Leading Economic Indicators Index suffers from construction flaws, which reduce its predictive power as well as one’s ability to interpret its signals. This paper develops a vector autoregression model to address these problems. The model’s out-of-sample GDP forecasts, using revised data, are found to outperform other private-sector forecasters on average over the period considered.\",\"PeriodicalId\":308524,\"journal\":{\"name\":\"ERN: Other Econometrics: Applied Econometric Modeling in Forecasting (Topic)\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometrics: Applied Econometric Modeling in Forecasting (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2606393\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometrics: Applied Econometric Modeling in Forecasting (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2606393","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Forecasting GDP with the Leading Indicators: A VAR Approach
The Conference Board’s Leading Economic Indicators Index suffers from construction flaws, which reduce its predictive power as well as one’s ability to interpret its signals. This paper develops a vector autoregression model to address these problems. The model’s out-of-sample GDP forecasts, using revised data, are found to outperform other private-sector forecasters on average over the period considered.