The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany, Italy and

Pub. Date
04 October, 1999
Pub. Type

In this paper we present a methodology for evaluating the forecasting ability of composite leading indicator varianbes of industrial economic activity. The new methodology highlights the risks of variable selection in a VAR framework. The methodology is applied to investigate the performance of the OECD composite leading in forecasting industrial production in four European countries.