In search of leading indicators of economic activity in Germany
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.
Year of publication: |
2003
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Authors: | Funke, Michael ; Bandholz, Harm |
Published in: |
Journal of Forecasting. - John Wiley & Sons, Ltd.. - Vol. 22.2003, 4, p. 277-297
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Publisher: |
John Wiley & Sons, Ltd. |
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