Consider the US monthly leading index from January 1982 to July 2017. The data can be obtained
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Consider the US monthly leading index from January 1982 to July 2017.
The data can be obtained from FRED (code: USSLIND) and are seasonally adjusted. Let xt denote the monthly leading index. Use lowess and local polynomials with degrees 0, 1, and 2 to explore the dependence of xt on xt−6. Show a scatter plot of xt versus xt−6 with fitted lines of lowess and local polynomials. Is the relationship nonlinear? Why?
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