| Article ID: | iaor2008780 |
| Country: | United Kingdom |
| Volume: | 22 |
| Issue: | 4 |
| Start Page Number: | 277 |
| End Page Number: | 297 |
| Publication Date: | Jul 2003 |
| Journal: | International Journal of Forecasting |
| Authors: | Funke Michael, Bandholz Harm |
| Keywords: | forecasting: applications |
In this paper we present two new composite leading indicators of economic activity in Germany estimated using a dynamic factor model with and without regime switching. The obtained optimal inferences of business cycle turning points indicate that the two-state regime switching procedure leads to a successful representation of the sample data and provides an appropriate tool for forecasting business conditions.