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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.