Dissecting the Purchasing Managers' Index: Are all relevant components included? Are all included components relevant?

Arbeitspapier

We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five enter the total index with differentiated weights, which were specified for its American counterpart about thirty years ago. In this paper, we address the question whether the current fixed weighting scheme of the PMI components is supported by the data. We find that the relative weights of the PMI components are generally supported by the data, except the fact that one component, found very informative for explaining GDP growth, is currently omitted from the PMI composition.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: KOF Working Papers ; No. 376

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Forecasting Models; Simulation Methods
• Thema: GDP growth ; MIDAS ; LASSO ; MIDASSO ; PMI ; real-time data ; Switzerland

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Siliverstovs, Boriss
• Ereignis: Veröffentlichung
• (wer): ETH Zurich, KOF Swiss Economic Institute
• (wo): Zurich
• (wann): 2015

Weitere Informationen

• DOI: doi:10.3929/ethz-a-010402982
• Handle: http://hdl.handle.net/10419/114448
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ