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Subjects > Composite Leading Indicators
Subject: Leading Indicators OECD > Component series
| .LOCN....... | Key statistical concept
The component series are time series which exhibit leading relationship with a reference series at the turning points. Their seasonally adjusted or raw form is combined into a CLI.
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Subject: Leading Indicators OECD > Composite indicators > Total leading indicator > Amplitude adjusted
| .LOCSTL04....... | Key statistical concept
For the CLI, the trend is eliminated from all component series included in the CLI by dividing the original component series by their trends and then aggregating to give the ratio-to-trend CLI. This series is then adjusted to ensure that its cyclical amplitude on average agrees with that of the de-trended reference series to form the amplitude adjusted CLI.
Estimation
The amplitude adjusted CLI is derived by adjusting first the mean of the detrended CLI to unity; and then adjusting its long-term cyclical amplitude to be equal to that of the detrended reference series.
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Subject: Leading Indicators OECD > Composite indicators > Total leading indicator > Trend restored
| .LOCSTL05....... | Key statistical concept
The trend restored series of the CLI is an alternative way to present the OECD CLI in which the long-term trend of the reference series has been incorporated.
The OECD uses the year-on-year growth rate of the CLI as its preferred pointer to possible turning points, as year-on-year growth rate is less volatile and provides earlier and clearer signals for future turning points than the CLI itself.
Estimation
This form of the CLI is calculated by multiplying the amplitude-adjusted CLI by the trend of the reference series to obtain the trend restored CLI. This trend-restoration enables direct comparison with the reference series.
The year-on-year growth rate of a CLI for a given month t is {[X(t)/X(t-12)]-1}*100, where X(t) is a CLI for month t (f.e. January 1997) and X(t-12) is a CLI for month t-12 (f.e. January 1996).
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Subject: Leading Indicators OECD > Reference series
| .LORE....... | Key statistical concept
A reference series is a time series which is used to identify the turning points chronologies in OECD CLI system. For the majority of countries the index of industrial production covering all industry sectors (IIP) excluding construction is used as a proxy measure (or reference series) for GDP.
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