What Do the Leading Indicators Lead? (ICPSR 1127)

Published: Aug 28, 2000 View help for published

Principal Investigator(s): View help for Principal Investigator(s)
James D. Hamilton, University of California at San Diego; Gabriel Perez-Quiros, University of California at San Diego

https://doi.org/10.3886/ICPSR01127.v1

Version V1

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.

Hamilton, James D., and Perez-Quiros, Gabriel. What Do the Leading Indicators Lead? Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2000-08-28. https://doi.org/10.3886/ICPSR01127.v1

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Inter-university Consortium for Political and Social Research

(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.

2000-08-28

2000-08-28

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:
  • 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. http://doi.org/10.3886/ICPSR01127.v1

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