This paper examines the ability of the composite leading index of economic activity to predict future movements in GDP growth using a nonlinear Granger causality test. Our empirical results are shown to contrast sharply with those from the conventional linear causality test.
Bibliographical noteFunding Information:
The author is grateful to Ioannis Asimakopoulos for sharing his program. This research was supported by the Hallym Academy of Sciences at Hallym University in South Korea, 2002-1. The usual disclaimer applies.
All Science Journal Classification (ASJC) codes
- Economics and Econometrics