This paper brings new evidence of predicting the U.S. recessions through Markovian models. The Markovian models, including the Hidden Markov and Markov models, incorporate the temporal autocorrelation of binary recession indicators in a more traditional and natural way. Considering interest...

We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...