The Philadelphia Fed Is Reviewing the State Coincident and Leading Indexes
The recent benchmark data revisions from the Bureau of Labor Statistics produced greater changes to the Philadelphia Fed's estimating methodology than are typical. While estimates for most states do appear to be reasonable, those for some states are not. Economists at the Bank are in the process of reviewing the estimation parameters for all 50 states; therefore, both indexes will be unavailable until further notice.
The Federal Reserve Bank of Philadelphia produces leading indexes for each of the 50 states. The indexes are calculated monthly and are usually released a week after the release of the coincident indexes. The Bank issues a release each month describing the current and future economic situation of the 50 states with special coverage of the Third District: Pennsylvania, New Jersey, and Delaware.
The leading index for each state predicts the six-month growth rate of the state’s coincident index. In addition to the coincident index, the models include other variables that lead the economy: state-level housing permits (1 to 4 units), state initial unemployment insurance claims, delivery times from the Institute for Supply Management (ISM) manufacturing survey, and the interest rate spread between the 10-year Treasury bond and the 3-month Treasury bill.
A time-series model (vector autoregression) is used to construct the leading index. Current and prior values of the forecast variables are used to determine the future values of the index.
Delivery times from the ISM Manufacturing Survey can be obtained from the Institute for Supply Management.
Housing permits can be obtained from the U.S. Census Bureau.
Initial unemployment insurance claims can be obtained from the Department of Labor.
Interest rates for the 10-year Treasury bond and the 3-month Treasury bill can be obtained from the Board of Governors.
Crone, Theodore M. "A New Look at Economic Indexes for the States in the Third District," Business Review, Federal Reserve Bank of Philadelphia (November/December 2000).