TY  - JOUR
AU  - McGuckin,Robert H.
AU  - Ozyildirim,Ataman
AU  - Zarnowitz,Victor
TI  - The Composite Index of Leading Economic Indicators: How to Make It More Timely
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8430
PY  - 2001
Y2  - August 2001
UR  - http://www.nber.org/papers/w8430
L1  - http://www.nber.org/papers/w8430.pdf
N1  - Author contact info:
Robert H. McGuckin, III
The Conference Board
845 Third Avenue
New York, NY 10022
E-Mail: robert.mcguckin@conference-board.org

Ataman Ozyildirim
E-Mail: a.ozyildirim@conference-board.org

Victor Zarnowitz
Conference Board
845 3rd Avenue
New York, NY 10022-6679
Tel: 212/339-0432
Fax: 212/836-9757
E-Mail: no email available
AB  - A major shortcoming of the U.S. leading index is that it does not use the most recent information for stock prices and yield spreads. The index methodology ignores these data in favor of a time-consistent set of components (i.e., all of the components must refer to the previous month).  An alternative is to bring the series with publication lags up-to-date with forecasts and create an index with a complete set of most recent components. This study uses tests of ex-ante predictive ability of the U.S. leading index to evaluate the gains to this new 'hot box' procedure of statistical imputation.  We find that, across a variety of simple forecasting models, the new approach offers substantial improvements.
ER  -