Leading indicators: myth or legend?
(2012) NEKN01 20121Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2797235
- author
- Fransson, Lina LU and Hammarbäck, Måns LU
- supervisor
- organization
- course
- NEKN01 20121
- year
- 2012
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{Leading indicators: myth or legend?}}, year = {{2012}}, }