We investigate the probability forecasting performance of a three-regime dynamic ordered probit model framework suitable to forecast recessions, low growth periods and accelerations for the U.S. and Japan. In a first step, we apply a non-parametric dating algorithm for the identification of...

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data...

In this paper we analyze the power of various indicators to predict growth rates of aggregate production using real-time data. In addition, we assess their ability to predict turning points of the economy. We consider four groups of indicators: survey data, composite indicators, real economic...