This is what the leading indicators lead
提出一个最优滤波器，将美国经济咨商局综合领先指数转化为衰退概率，并分析其对产出增长的预测能力。通过比较多种模型，发现切换机制与非参数预测的组合效果最佳。
Abstract We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, non‐parametric models and conclude that a combination of the switching regimes and non‐parametric forecasts is the best strategy at predicting both the NBER business cycle schedule and GDP growth. This confirms the usefulness of CLI, even in a real‐time analysis. Copyright © 2002 John Wiley & Sons, Ltd.