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Pre-recession pattern of six economic indicators in the USA

✍ Scribed by V. Keilis-Borok; J. H. Stock; A. Soloviev; P. Mikhalev

Book ID
101285881
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
172 KB
Volume
19
Category
Article
ISSN
0277-6693

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✦ Synopsis

This paper applies a tightly parameterized pattern recognition algorithm, previously applied to earthquake prediction, to the problem of predicting recessions. Monthly data from 1962 to 1996 on six leading and coincident economic indicators for the USA are used. In the full sample, the model performs better than benchmark linear and non-linear models with the same number of parameters. Subsample and recursive analysis indicates that the algorithm is stable and produces reasonably accurate forecasts even when estimated using a small number of recessions.

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