JSM 2012 Home

JSM 2012 Online Program

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

Online Program Home

Abstract Details

Activity Number: 19
Type: Topic Contributed
Date/Time: Sunday, July 29, 2012 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #306080
Title: Comprehensive Benchmark Revisions for the Conference Board Leading Economic Index for the United States
Author(s): Ataman Ozyildirim*+ and Gad Levanon and Brian Schaitkin and Justyna Zabinska La-Monica and Jean-Claude Manini
Companies: The Conference Board and The Conference Board and The Conference Board and The Conference Board and The Conference Board
Address: 845 Third Avenue, New York, NY, 10022-6601, United States
Keywords: business cycles ; leading economic indexes ; time series ; out of sample forecasting ; diffusion indexes ; turning points

Following an extensive reevaluation of existing indicators included in The Conference Board Leading Economic Index® for The United States, we propose a comprehensive revision of the composite index. The changes in the LEI composition include: 1) using a new Leading Credit Index (LCI) rather than real money supply (M2) starting in 1990 (real M2 remains in the index before 1990); 2) replacing the ISM Supplier Delivery Index with the ISM New Orders Index; 3) replacing the Reuters/University of Michigan Consumer Expectations Index with a new indicator of consumer expectations of business and economic conditions; and 4) excluding aircraft orders from the "New Orders for (nondefense) Capital Goods" component. These changes are assessed using turning point analysis, probit models and an indicator scoring system based on Markov Switching models. Real time out-of-sample forecasting exercises are

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2012 program

2012 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.