OECD Journal: Journal of Business Cycle Measurement and Analysis

Frequency
Semiannual
ISSN: 
1995-2899 (online)
ISSN: 
1995-2880 (print)
http://dx.doi.org/10.1787/19952899
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The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.

Article
 

Heuristic model selection for leading indicators in Russia and Germany You do not have access to this content

English
 
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    http://oecd.metastore.ingenta.com/content/3312021ec003.pdf
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Author(s):
Ivan Savin, Peter Winker
28 May 2013
Pages:
23
Bibliographic information
No.:
10,
Volume:
2012,
Issue:
2
Pages:
67–89
http://dx.doi.org/10.1787/jbcma-2012-5k49pkpbf76j

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Business tendency survey indicators are widely recognised as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified and estimated to construct forecasts. As the potential number of lags included is large, we compare full-specified VAR models with subset models obtained using a Genetic Algorithm enabling "holes" in multivariate lag structures. The problem is complicated by the fact that a structural break and seasonal variation of indicators have to be taken into account. The models allow for a comparison of the dynamic adjustment and the forecasting performance of the leading indicators for both countries revealing marked differences between Russia and Germany.

JEL classification: C52, C61, E37
Keywords: Leading indicators, business cycle forecasts, VAR, model selection, genetic algorithms

 
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