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Real-Time Tests of the Leading Economic Index: Do Changes in the Index Composition Matter?

McGuckin, Robert H.; Ozyildirim, Ataman - The Conference Board - 2003

This paper reports real-time out-of-sample tests of the ability of the U.S. Index Leading Economic Indicators (LEI) to forecast the economy using "composition-changing" "as-published" versions of the LEI. It is an extension of recent work that focused on forecasts with a "composition-constant"...

Persistent link: https://www.econbiz.de/10005001412

Detecting and forecasting business cycle turning points

Harding, Don - Volkswirtschaftliche Fakultät, … - 2008

research on detecting and forecasting business cycle turning points. …

Persistent link: https://www.econbiz.de/10009323455

Markov-Switching MIDAS Models

Guerin, Pierre; Marcellino, Massimiliano - Department of Economics, European University Institute - 2011

This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...

Persistent link: https://www.econbiz.de/10008868072

Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes

Barsoum, Fady; Stankiewicz, Sandra - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2013

not only simplify the model estimation, but also improve its forecasting performance. We allow the parameters of the MIDAS … large dataset with the help of factor analysis. Monte Carlo experiments and an empirical forecasting comparison carried out … for the U.S. GDP growth show that the models of the MS-UMIDAS class exhibit similar or better nowcasting and forecasting …

Persistent link: https://www.econbiz.de/10010666544

Predicting recessions with interest rate spreads : a multicountry regime-switching analysis

Ahrens, Ralf - 1999

forecasting ability of the spread. Klassifikation: …

Persistent link: https://www.econbiz.de/10009768273

Forecasting excess stock returns with crude oil market data

Liu, Li; Ma, Feng; Wang, Yudong - In: Energy Economics 48 (2015) C, pp. 316-324

forecasting accuracy can be improved after adding oil variables to the traditional predictors. The forecasting gains relative to …

Persistent link: https://www.econbiz.de/10011208284

An Econometric Analysis of Some Models for Constructed Binary Time Series

Harding, Don; Pagan, Adrian - National Centre for Econometric Research (NCER) - 2009

Macroeconometric and financial researchers often use secondary or constructed binary random variables that differ in terms of their statistical properties from the primary random variables used in micro-econometric studies. One important difference between primary and secondary binary variables...

Persistent link: https://www.econbiz.de/10005015196

The Econometric Analysis of Constructed Binary Time Series

Harding, Don; Pagan, Adrian - Department of Economics, Faculty of Business and Economics - 2006

Macroeconometric and Financial researchers often use secondary or constructed binary random variables that differ in terms of their statistical properties from the primary random variables used in microeconometric studies. One important di¤erence between primary and secondary binary variables...

Persistent link: https://www.econbiz.de/10005578908

Extracting, Using and Analysing Cyclical Information

Harding, Don; Pagan, Adrian - Volkswirtschaftliche Fakultät, … - 2001

Recent events suggest that the death of the business cycle has been exaggerated; the issue of how one learns about and monitors the business cycle remains centre stage. Advent of the Euro and the potential for tensions when sovereign nations subsume their monetary policy into a single response...

Persistent link: https://www.econbiz.de/10005790082

Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle

Harding, Don - Department of Economics and Finance, La Trobe Business … - 2010

To match the NBER business cycle features it is necessary to employ Generalised dynamic categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests additional shape restrictions in the form of monotonicity and boundedness of certain transition...

Persistent link: https://www.econbiz.de/10010541670