Predicting the probability of a recession with nonlinear autoregressive leading-indicator models

被引：23

作者：

Anderson, HM ^{[1
]}

Vahid, F ^{[1
]}

机构：

[1] Monash Univ, Dept Econometr & Business Stat, Clayton, Vic 3800, Australia

来源：

MACROECONOMIC DYNAMICS | 2001年 / 5卷 / 04期

关键词：

event probabilities; leading indicators; nonlinear models;

D O I：

10.1017/S1365100501023033

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop nonlinear leading-indicator models for GDP growth, with the interest-rate spread and growth in M2 as leading indicators. Since policy makers typically are interested in whether a recession is imminent, we evaluate these models according to their ability to predict the probability of a recession. Using data for the United States, we find that conditional on the spread, the marginal contribution of M2 growth in predicting recessions is negligible.

引用

页码：482 / 505

页数：24

共 45 条

[31] RAVN MO, 1999, NONLINEAR TIME SERIE, pCH12
[32] SIMS CA, 1980, AM ECON REV, V70, P250
[33] SIMS CA, 1993, NBER STUDIES BUSINES, V28, pCH4
[34] Skalin J, 1999, J APPL ECONOMET, V14, P359, DOI 10.1002/(SICI)1099-1255(199907/08)14:4<359::AID-JAE517>3.0.CO
[35] 2-1
[36] STOCK JH, 1989, NBER MACROECON ANN, P351
[37] STOCK JH, 1993, NBER STUDIES BUSNESS, V28, pCH2
[38] SPECIFICATION, ESTIMATION, AND EVALUATION OF SMOOTH TRANSITION AUTOREGRESSIVE MODELS
TERASVIRTA, T
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1994, 89 (425) : 208 - 218
[39] CHARACTERIZING NONLINEARITIES IN BUSINESS CYCLES USING SMOOTH TRANSITION AUTOREGRESSIVE MODELS
TERASVIRTA, T
ANDERSON, HM
[J]. JOURNAL OF APPLIED ECONOMETRICS, 1992, 7 : S119 - S136
[40] SOME ADVANCES IN NONLINEAR AND ADAPTIVE MODELING IN TIME-SERIES
TIAO, GC
TSAY, RS
[J]. JOURNAL OF FORECASTING, 1994, 13 (02) : 109 - 131

← 1 2 3 4 5 →