Appendix I. U.S. Leading, Coincident, and Lagging Economic Indicators
Appendix II. Classical Business Cycle versus Growth Cycles Approaches to Estimating Coincident and Leading Indicators
Appendix III. Definition and Sources of Variables
Appendix IV. Significance of Muslim Holidays Dummies
Appendix V. Unit Root Tests
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The authors are grateful to Mohammad Abu-Hammour, David Burton, Robert Flood, Ghassan Ifram, Ahsan Mansur, Udo Kock, Martin Petri, and Todd Schneider for helpful comments on earlier drafts. Natalie Baumer provided useful editorial comments. The usual disclaimers apply.
Appendix I presents the variables currently used by the Conference Board to compile leading, coincident, and lagging indexes of economic activity in the United States.
The United Nations Economic and Social Committee for Asia and the Pacific (UNESCAP), in collaboration with the OECD and the Asian Development Bank, organized two workshops in 1999/2000 to encourage the use of leading indicators in emerging countries and harmonize their methodologies (http://www.unescap.org/stat/meet/libts/libts.htm).
For a detailed discussion of the financial crisis and its aftermath, see, for example, Maciejewski and Mansur (1996).
These exports require a minimum value added from both Israeli and Jordanian sources and are produced in so-called "Qualified Industrial Zones," that is, industrial parks with duty- and quota-free access to U.S. markets.
See Appendix III for a list of the variables. The data were collected from various issues of the Monthly Statistical Bulletin of the Central Bank of Jordan and the Government Finance Bulletin of the Ministry of Finance of Jordan. For the price indexes of exports and imports, data were only available on a quarterly basis for 1996; the quarterly observations were therefore linearly interpolated for this period. Some earlier observations of some of the indexes were also rebased to conform to the base of later observations.
The net usable reserves of the CBJ, denominated in U.S. dollars, were deflated by the U.S. CPI index.
The Gregorian calendar is based on the revolution of the earth around the sun. The Gregorian year thus comprises 365¼ days, with 12 months averaging 30 days each. The Muslim calendar is based on motions of the moon with respect to the earth lasting 29.53 days. At 354.36 days, the Muslim year is therefore approximately 11 days shorter than the Gregorian year.
All regressions in this paper were run using the Eviews 4.1 software package, see, for example, Lilien, (2002).
While θ is close to unity in absolute value, the null hypothesis (i.e., θ=1) can be rejected at the 5 percent confidence interval. In any case, even if θ were to be greater than unity (i.e., the MA process is noninvertible) this poses no substantive problem, as noted by Hamilton (1994, p. 65); Plosser and Schwert (1977); and Enders (1995, p. 97).
Unlike the CEI estimation, the coefficient on a constant was insignificant and was therefore dropped.
This compares favorably with other econometric studies of coincident indicators, where R2 of comparable regressions was between .63 and .69. See, for example, Stock and Watson (1989) and Phillips (1998).
The contraction in industrial production in February 2003 was exacerbated by a snow storm, which halted production for about a week.
The tests are performed with an autoregressive spectral-OLS procedure and a lag length of 9 months.