This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

indicators for forecasting the Swiss business cycle. In particular, the difference between risk-free long-term and short …-term rates is an effcient indicator for both the amplitude and the timing, especially over long forecasting horizons. Part of … in forecasting the timing of the cycle. It is also shown that financial variables, coupled with indicators from the real …

macroeconomic time series have important predictive power for NBER recession dates. A pseudo out-of-sample forecasting exercise …

In this paper, we investigate the role of recessions on the relative forecasting performance of the Fed and the private … after 1991. Our results show that the information superiority of the Fed in forecasting real activity did arise from its … forecasting dominance during recessions. If recessions are excluded from the pre-1992 period, the informational advantage of the …