Research Discussion Paper – RDP 2000-02 Forecasting Australian Economic Activity Using Leading Indicators

Contents

• Introduction
• The Leading Indicators
• Results
• Conclusion
• Appendix A: Data
• Appendix B: Unit Root and Cointegration Tests
• Appendix C: Forecast Error Variance Decompositions
• Appendix D: Forecasting with the Gruen and Shuetrim Output Equation
• References

The authors would like to thank Ron Bewley, Mardi Dungey, David Gruen, Don Harding, Adrian Pagan, Glenn Stevens, Jeremy Rothfield and participants at the 1999 Melbourne Institute Conference on ‘Forecasting and Business Cycle Analysis: Frontier Techniques’ for advice and comments. We are particularly grateful to Mardi Dungey who provided detailed comments as the discussant of this paper at the Melbourne Institute conference. The views expressed in this paper are those of the authors and do not reflect the views of the Reserve Bank of Australia. The authors are solely responsible for any errors.