On the compilation of a leading index for the US economy

The shortcomings of the current method of compilation of the leading index of the US economy is first discussed. It is found that the current method does not take into consideration the differences of the leading structures among the selected component series, from which the leading index is composed. As a result, false turing signals may occur. In this study, a new estimation technique is first presented for the estimation of the lead structure of each of the component series. An alternate method of compilation is then proposed. One novel point of this compilation is that the weight distribution assigned to the component series includes their time-delayed terms (lag-terms).