ISM Manufacturing Index: March 2013 Preview

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 |  Includes: FXR, IYJ, PRN, PSCI, RGI, SIJ, UXI, VIS, XLI
by: James Picerno

The ISM Manufacturing Index is projected to rise to 54.8 in Monday's update for March, based on The Capital Spectator's average econometric forecast. That reflects a modest increase over the 54.2 reading for February. By contrast, the consensus forecasts in two surveys of economists predict a modest decline for ISM's March report.

Here's a closer look at the numbers, followed by brief summaries of the methodologies behind The Capital Spectator's projections:

VAR-1: A vector autoregression model that analyzes the history of industrial production in context with the ISM Manufacturing Index. The forecasts are run in R with the "vars" package.

VAR-8: A vector autoregression model that analyzes eight economic time series in context with the ISM Manufacturing Index. The eight additional series: industrial production, private non-farm payrolls, index of weekly hours worked, US stock market (S&P 500), real personal income less current transfer receipts, real personal consumption expenditures, spot oil prices, and the Treasury yield spread (10 year Note less 3-month T-bill). The forecasts are run in R with the "vars" package.

ARIMA: An autoregressive integrated moving average model that analyzes the historical record of the ISM Manufacturing Index in R via the "forecast" package.

ES: An exponential smoothing model that analyzes the historical record of the ISM Manufacturing Index in R via the "forecast" package.