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Derivation of a Leading Index for the United States Using Kalman Filters

Vance L. Martin
The Review of Economics and Statistics
Vol. 72, No. 4 (Nov., 1990), pp. 657-663
Published by: The MIT Press
DOI: 10.2307/2109606
Stable URL: http://www.jstor.org/stable/2109606
Page Count: 7
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Derivation of a Leading Index for the United States Using Kalman Filters
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Abstract

The purpose of this paper is to construct a leading index for the United States by deriving a set of weights based on Kalman filters. The weights have certain optimality properties and are related to the existing weighting methods of Burns and Mitchell, Hymans and Auerbach. The Kalman filter leading index is compared with the CIBCR leading composite index and an index suggested by Auerbach by subjecting all indexes to a number of tests. The results of the tests are mixed but suggest that the use of Kalman filters as a way of constructing leading indexes is encouraging.

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