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http://hdl.handle.net/10397/88649
Title: | On business cycle forecasting | Authors: | Lai, HW Ng, ECY |
Issue Date: | 2020 | Source: | Frontiers of business research in China, . . 2020, , v. 14, no. 1, 17, p. 1-26 | Abstract: | We develop a recession forecasting framework using a less restrictive target variable and more flexible and inclusive specification than those used in the literature. The target variable captures the occurrence of a recession within a given future period rather than at a specific future point in time (widely used in the literature). The modeling specification combines an autoregressive Logit model capturing the autocorrelation of business cycles, a dynamic factor model encompassing many economic and financial variables, and a mixed data sampling regression incorporating common factors with mixed sampling frequencies. The model generates significantly more accurate forecasts for U.S. recessions with smaller forecast errors and stronger early signals for the turning points of business cycles than those generated by existing models. | Keywords: | Recession forecasting Business cycle Autoregressive logit Dynamic factor Mixed data sampling (Midas) regression |
Publisher: | Higher Education Press | Journal: | Frontiers of business research in China | ISSN: | 1673-7326 | EISSN: | 1673-7431 | DOI: | 10.1186/s11782-020-00085-3 | Rights: | © The Author(s). 2020 Open Access This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/. The following publication Lai, H. W., & Ng, E. C. Y. (2020). On business cycle forecasting. Frontiers of Business Research In China, 14(1), 17, 1-26 is available at https://dx.doi.org/10.1186/s11782-020-00085-3 |
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