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Chinese Journal of Management Science

Chinese Journal of Management Science ›› 2007, Vol. 15 ›› Issue (4): 116-123.

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Building SW-Type Leading Indices:An Empirical Study

WANG Jin-ming1, CHENG Jian-hua2, YANG Xiao-guang3,4   

  1. 1. Quantitative Research Centre of Economics, Jilin University, Changchun 130012, China;
    2. School of Economics, Anhui University, Hefei 230039, China;
    3. Center of Forecasting Science, Chinese Academy of Sciences, Beijing 100080, China;
    4. Aacademy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080, China
  • Received:2006-09-06 Revised:2007-07-15 Online:2007-08-31 Published:2007-08-31

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Abstract: Using China's monthly economic data from January 1997 to May 2006,the paper discusses the possibility of building SW-type leading indices.Empirical results show that: SW Index based on coincident indicators can reflect the economic movement quite well; both SW Index and Coincident Composite Index have their own advantages; but SW-Type Leading Index based on leading indicators is unstable and ill-performed,while SW-Type Leading Index based on coincident indicators forecasting has a good performance.

Key words: SW Index, coincident composite Index, SW-type leading index

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