A comparison of methods for the construction of composite coincident and leading indexes for the UK

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dc.contributor.authorCARRIERO, Andrea
dc.contributor.authorMARCELLINO, Massimiliano
dc.date.accessioned2016-07-07T08:35:14Z
dc.date.available2016-07-07T08:35:14Z
dc.date.issued2007
dc.description.abstractIn this paper we provide an overview of recent developments in the methodology for the construction of composite coincident and leading indexes, and apply them to the UK. In particular, we evaluate the relative merits of factor based models and Markov switching specifications for the construction of coincident and leading indexes. For the leading indexes we also evaluate the performance of probit models and pooling. The results indicate that alternative methods produce similar coincident indexes, while there are more marked differences in the leading indexes.
dc.identifier.issn1473-0278
dc.identifier.urihttps://hdl.handle.net/1814/42357
dc.language.isoen
dc.relation.ispartofseriesQueen Mary University of Londonen
dc.relation.ispartofseriesWorking Papersen
dc.relation.ispartofseries2007/590en
dc.titleA comparison of methods for the construction of composite coincident and leading indexes for the UK
dc.typeWorking Paper
dspace.entity.typePublication
eui.subscribe.skiptrue
person.identifier.other26452
relation.isAuthorOfPublication40c8706f-96c5-4201-aba5-626a9232e5d7
relation.isAuthorOfPublication.latestForDiscovery40c8706f-96c5-4201-aba5-626a9232e5d7
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