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Principal Investigator(s): Hamilton, James D., University of California at San Diego; Perez-Quiros, Gabriel, University of California at San Diego
The authors find that the composite leading index (CLI) is useful for forecasting gross national product (GNP), both in a sample and an out-of-sample real-time exercise. They propose a nonlinear specification in which cyclical shifts of the CLI precede those in GNP. However, the authors find that better forecasts are provided by a simple linear relation between current GNP growth along with an error-correction term corresponding to the previous quarter's logarithmic difference between the level of the CLI and the level of GNP.
These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
These data are freely available.
Hamilton, James D., and Gabriel Perez-Quiros. What Do the Leading Indicators Lead?. ICPSR01127-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2000-08-28. doi:10.3886/ICPSR01127.v1
Persistent URL: http://doi.org/10.3886/ICPSR01127.v1
This study was funded by:
- National Science Foundation
Scope of Study
Geographic Coverage: United States
Data Collection Notes:
(1) There are three subdirectories that contain the data and program files: aer97, jpe96, and jbus96. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.
Original ICPSR Release: 2000-08-28
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