In search of leading indicators of economic activity in Germany | Zendy

Bandholz Harm | Zendy; Funke Michael | Zendy

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In search of leading indicators of economic activity in Germany

Author(s) -

Bandholz Harm,

Funke Michael

Publication year - 2003

Publication title -

journal of forecasting

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.543

H-Index - 59

eISSN - 1099-131X

pISSN - 0277-6693

DOI - 10.1002/for.862

Subject(s) - business cycle , econometrics , economic indicator , sample (material) , representation (politics) , economics , dynamic factor , state (computer science) , computer science , macroeconomics , politics , algorithm , thermodynamics , political science , law , physics

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.

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