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What Do the Leading Indicators Lead?

Resource Type
Dataset : survey data
  • Hamilton, James D. (University of California at San Diego)
  • Perez-Quiros, Gabriel (University of California at San Diego)
Other Title
  • Archival Version (Subtitle)
Publication Date
Funding Reference
  • National Science Foundation
Free Keywords
economic indicators; Gross National Product
  • Abstract

    The authors find that the composite leading index (CLI) is useful for forecasting gross national product (GNP), both in a sample and an out-of-sample real-time exercise. They propose a nonlinear specification in which cyclical shifts of the CLI precede those in GNP. However, the authors find that better forecasts are provided by a simple linear relation between current GNP growth along with an error-correction term corresponding to the previous quarter's logarithmic difference between the level of the CLI and the level of GNP.
  • Table of Contents


    • DS1: Dataset
Geographic Coverage
  • United States
Collection Mode
  • (1) There are three subdirectories that contain the data and program files: aer97, jpe96, and jbus96. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

This version of the study is no longer available on the web. If you need to acquire this version of the data, you have to contact ICPSR User Support (
Alternative Identifiers
  • 1127 (Type: ICPSR Study Number)
  • Is previous version of
    DOI: 10.3886/ICPSR01127.v1
  • Hamilton, James D., Perez-Quiros, Gabriel. What do the leading indicators lead?. Journal of Business.69, (1), 27-49.1996.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Hamilton, James D.; Perez-Quiros, Gabriel (2000): What Do the Leading Indicators Lead?. Archival Version. Version: v0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.