In search of leading indicators of economic activity in Germany
- 15 July 2003
- journal article
- research article
- Published by Wiley in Journal of Forecasting
- Vol. 22 (4) , 277-297
- https://doi.org/10.1002/for.862
Abstract
In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtained optimal inferences of business cycle turning points indicate that the two‐state regime switching procedure leads to a successful representation of the sample data and provides an appropriate tool for forecasting business conditions. Copyright © 2003 John Wiley & Sons, Ltd.Keywords
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