Current economic crisis shed dark light on the possibilities of creating a valuable andreliable short and medium term forecasts with the use of the most commonly appliedeconometric models in the structural or autoregressive form (SVAR, VAR), but also modelsof the general equilibrium (CGE, DSGE). The models failed to forecast especially at theverge of the crisis when the information on upcoming peak in the business cycle would beof the highest value.This situation was a stimulus to undertake research oriented at creating a family ofmodels that would react faster and with higher precision to dynamic changes in theeconomic environment. As a result it is expected that a family of models will be specified,identified and estimated. They should provide leading and more accurate information onbasic macroeconomic variables – GDP, unemployment and inflation. Each of thespecifications will be subject to two objectives: (1) the minimum ex-ante forecast error and(2) immediate and reliable accessibility of data.The database applied in the procedure will comprise of time series from the ResearchInstitute of Economic Development (RIED) on sentiment in manufacturing industry,households, trade and construction. The series on economic activity in Poland cover theperiod of 1995–2009.