The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy

Dr Martin Weale, Gonzalo Camba-Mendez, George Kapetanios and Ray Smith ()
Authors registered in the RePEc Author Service: E Philip Davis ()

No 155, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: In this paper we present a methodology for evaluating the forecasting ability of composite leading indicator varianbes of industrial economic activity. The new methodology highlights the risks of variable selection in a VAR framework. The methodology is applied to investigate the performance of the OECD composite leading in forecasting industrial production in four European countries.

Date: 1999-10
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:nsr:niesrd:155

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