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Leading indicators: myth or legend?

Fransson, Lina LU and Hammarbäck, Måns LU (2012) NEKN01 20121
Department of Economics
Abstract
In this thesis we analyze the predictive power of various traditionally leading indicators of GDP-growth. We apply a dynamic panel data estimation approach and use variables categorized in to two groups; survey indicators and economic variables. The sample is transformed using a wavelet analysis to obtain the short-, medium- and long run impact of the variables. The results show that there are difficulties in estimating the short run fluctuations while there is large explanatory power in the medium run.
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author
Fransson, Lina LU and Hammarbäck, Måns LU
supervisor
organization
course
NEKN01 20121
year
type
H1 - Master's Degree (One Year)
subject
keywords
leading indicators, business cycle, dynamic panel data model, systematic GMM, wavelet transformation
language
English
id
2797235
date added to LUP
2012-06-14 11:04:27
date last changed
2012-06-14 11:04:27
@misc{2797235,
  abstract     = {In this thesis we analyze the predictive power of various traditionally leading indicators of GDP-growth. We apply a dynamic panel data estimation approach and use variables categorized in to two groups; survey indicators and economic variables. The sample is transformed using a wavelet analysis to obtain the short-, medium- and long run impact of the variables. The results show that there are difficulties in estimating the short run fluctuations while there is large explanatory power in the medium run.},
  author       = {Fransson, Lina and Hammarbäck, Måns},
  keyword      = {leading indicators,business cycle,dynamic panel data model,systematic GMM,wavelet transformation},
  language     = {eng},
  note         = {Student Paper},
  title        = {Leading indicators: myth or legend?},
  year         = {2012},
}