References
- Artis , M , Bladen-Hovell , R , Osborn , D , Smith , G and Zhang , W . 1995 . Turning point prediction for the UK using CSO leading indicators . Oxford Economic Papers , 47 : 397 – 417 .
- Bai , J and Perron , P . 1989 . Estimating and testing linear models with structural changes . Econometrica , 66 : 47 – 78 .
- Bai , J and Perron , P . 2003 . Computation and analysis of multiple structural change models . Journal of Applied Econometrics , 18 : 1 – 22 .
- Camba-Mendez , G , Kapetanios , G , Weal , MR and Smith , RJ . 2002 . “ The forecasting performance of the OECD composite leading indicators for France, Germany, Italy and the UK ” . In A Companion to Economic Forecasting , Oxford : Blackwells .
- Clark , TE and McCracken , MW . 2001 . Tests of equal forecast accuracy and encompassing for nested models . Journal of Econometrics , 105 : 85 – 110 .
- Clark , TE and McCracken , MW . 2005 . The power of tests of predictive ability in the presence of structural breaks . Journal of Econometrics , 124 : 1 – 31 .
- Debs , A . 2001 . Testing for a structural break in the volatility of real GDP growth in Canada Bank of Canada Working Paper No. 2001-9
- De Leeuw , F . 1989 . Leading indicators and the ‘Prime Mover’ view . Survey of Current Business , 8 : 23 – 9 .
- Diebold , FX and Mariano , R . 1995 . Comparing predictive accuracy . Journal of Business and Economic Statistics , 13 : 253 – 65 .
- Diebold , FX and Rudebusch , GD . 1991 . Forecasting output with the composite leading index: an ex-ante analysis . Journal of American Statistical Association , 86 : 603 – 10 .
- Duguay , D . 1994 . Empirical evidence on the strength of the monetary transmission mechanism in Canada: an aggregative approach . Journal of Monetary Economics , 33 : 39 – 61 .
- Engel , R and Granger , C . 1987 . Cointegration and error-correction: representation, estimation, and testing . Econometrica , 35 : 251 – 76 .
- Freedman , C . 2001 . Inflation targeting and the economy: lessons from Canada's first decade . Contemporary Economic Policy , 19 : 2 – 19 .
- Hansen , BE . 1992 . Testing for parameter instability in linear models . Journal of Policy Modeling , 14 : 517 – 33 .
- Johansen , S and Juselius , K . 1990 . Maximum likelihood estimation and inference on cointegration–with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
- Kabala and Tesfatsion . 1996 . A multicriteria approach to model specification and estimation . Computational Statistics and Data Analysis , 21 : 193 – 214 .
- Marsland , J and Weale , M . 1992 . The leading indicator in a VAR model of the UK Unpublished Paper, Downing College and Clare College, University of Cambridge
- McConnell , M and Perez-Quiros , G . 2000 . Output fluctuations in the United States: what has changed since the early 1980s? . American Economic Review , 90 : 1464 – 76 .
- Rapach , DE and Weber , CE . 2004 . Financial variables and the simulated out-of-sample forecasting of US output growth since 1985: an encompassing approach . Economic Enquiry , 42 : 717 – 38 .
- Rhoades , D . 1982 . Special study: statistics Canada's leading indicator system . Current Economic Analysis , 2 Statistics Canada Catalogue 13-004E
- Stock , JH and Watson , MW . 1990 . New indexes of coincident and leading economic indicators National Bureau of Economic Research Working Paper No. R1380
- Stock , JH and Watson , MW . 2003 . Forecasting output and inflation: the role of asset prices . Journal of Economic Literature , XLI : 788 – 829 .
- Vaccara , BN and Zarnowitz , V . 1977 . How good are the leading indicators? . Proceedings of the Business and Economic Statistics Section American Statistical Association . 1977 . pp. 41 – 50 .
- Zarnowitz , V and Braun , P . 1989 . Major macroeconomic variables and leading indexes: some estimates of their interrelations , 1886–1982, NBER Working Paper No. 2812
- Zheng , IY and Rossiter , J . 2006 . Using monthly indicators to predict quarterly GDP Bank of Canada Working Paper 2006-26, Bank of Canada