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An Evaluation Of The Index Of Leading Indicators As Predictor Of Cyclical Turning Points Using Markov Switching Model As Filter
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Book Synopsis An Evaluation of the Index of Leading Indicators as Predictor of Cyclical Turning Points Using Markov Switching Model as Filter by : Kajal Lahiri
Download or read book An Evaluation of the Index of Leading Indicators as Predictor of Cyclical Turning Points Using Markov Switching Model as Filter written by Kajal Lahiri and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Measuring and Predicting Turning Points Using a Dynamic Bi-Factor Model by : Konstantin A. Kholodilin
Download or read book Measuring and Predicting Turning Points Using a Dynamic Bi-Factor Model written by Konstantin A. Kholodilin and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper a dynamic bi-factor model with Markov-switching is developed to measure and predict turning points. Both common factors have their own cyclical dynamics and their lead-lag relationships are reflected in the transition probabilities matrix. The model is applied to four coincident and four selected leading indicators for the US economy. The bi-factor model stimates that, on average, CLI leads CCI by 7-8 months at both peaks and troughs. The model-derived recession probabilities of CCI and those of CLI with a lag of 9 months capture the NBER business cycle chronology very well. The out-of-sample forecast using CLI successfully detected the latest recession from March to December 2001. This ensures the measurement and prediction of turning points in a precise and timely fashion.
Book Synopsis Detecting Cyclical Turning Points by : Jacques Anas
Download or read book Detecting Cyclical Turning Points written by Jacques Anas and published by . This book was released on 2004 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays in Business Cycles and Finance by : Gabriel Perez-Quiros
Download or read book Three Essays in Business Cycles and Finance written by Gabriel Perez-Quiros and published by . This book was released on 1996 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Business Cycles, Indicators, and Forecasting by : James H. Stock
Download or read book Business Cycles, Indicators, and Forecasting written by James H. Stock and published by University of Chicago Press. This book was released on 2008-04-15 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inability of forecasters to predict accurately the 1990-1991 recession emphasizes the need for better ways for charting the course of the economy. In this volume, leading economists examine forecasting techniques developed over the past ten years, compare their performance to traditional econometric models, and discuss new methods for forecasting and time series analysis.
Book Synopsis Business Cycles by : Victor Zarnowitz
Download or read book Business Cycles written by Victor Zarnowitz and published by University of Chicago Press. This book was released on 2007-11-01 with total page 613 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the most complete collection available of the work of Victor Zarnowitz, a leader in the study of business cycles, growth, inflation, and forecasting.. With characteristic insight, Zarnowitz examines theories of the business cycle, including Keynesian and monetary theories and more recent rational expectation and real business cycle theories. He also measures trends and cycles in economic activity; evaluates the performance of leading indicators and their composite measures; surveys forecasting tools and performance of business and academic economists; discusses historical changes in the nature and sources of business cycles; and analyzes how successfully forecasting firms and economists predict such key economic variables as interest rates and inflation.
Author :American Statistical Association. Business and Economic Statistics Section Publisher : ISBN 13 : Total Pages :480 pages Book Rating :4.3/5 (91 download)
Book Synopsis Proceedings of the Business and Economic Statistics Section by : American Statistical Association. Business and Economic Statistics Section
Download or read book Proceedings of the Business and Economic Statistics Section written by American Statistical Association. Business and Economic Statistics Section and published by . This book was released on 1993 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A More Timely and Useful Index of Leading Indicators by : Robert H. McGuckin
Download or read book A More Timely and Useful Index of Leading Indicators written by Robert H. McGuckin and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Effectively predicting cyclical movements in the economy is a major challenge. While there are other approaches to forecasting, the U.S. leading index has long been used to analyze and predict economic fluctuations. We describe and test a new procedure for making the index more timely. The new index significantly outperforms its less timely counterpart and offers substantial gains in real-time out-of-sample forecasts of changes in aggregate economic activity and industrial production. It provides timely and accurate ex-ante information for predicting, not only the business cycle turning points, but the monthly changes in the economy.
Book Synopsis Journal of Business Cycle Measurement and Analysis by :
Download or read book Journal of Business Cycle Measurement and Analysis written by and published by . This book was released on 2009 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Business Cycles by : Francis X. Diebold
Download or read book Business Cycles written by Francis X. Diebold and published by Princeton University Press. This book was released on 2020-10-06 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the most sophisticated and up-to-date econometric analysis of business cycles now available. Francis Diebold and Glenn Rudebusch have long been acknowledged as leading experts on business cycles. And here they present a highly integrative collection of their most important essays on the subject, along with a detailed introduction that draws together the book's principal themes and findings. Diebold and Rudebusch use the latest quantitative methods to address five principal questions about the measurement, modeling, and forecasting of business cycles. They ask whether business cycles have become more moderate in the postwar period, concluding that recessions have, in fact, been shorter and shallower. They consider whether economic expansions and contractions tend to die of "old age." Contrary to popular wisdom, they find little evidence that expansions become more fragile the longer they last, although they do find that contractions are increasingly likely to end as they age. The authors discuss the defining characteristics of business cycles, focusing on how economic variables move together and on the timing of the slow alternation between expansions and contractions. They explore the difficulties of distinguishing between long-term trends in the economy and cyclical fluctuations. And they examine how business cycles can be forecast, looking in particular at how to predict turning points in cycles, rather than merely the level of future economic activity. They show here that the index of leading economic indicators is a poor predictor of future economic activity, and consider what we can learn from other indicators, such as financial variables. Throughout, the authors make use of a variety of advanced econometric techniques, including nonparametric analysis, fractional integration, and regime-switching models. Business Cycles is crucial reading for policymakers, bankers, and business executives.
Book Synopsis On Turning Point Detection in Cyclical Processes by : Eva Andersson
Download or read book On Turning Point Detection in Cyclical Processes written by Eva Andersson and published by . This book was released on 2001 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Factor Models by : Siem Jan Koopman
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Book Synopsis Aanwinsten van de Centrale Bibliotheek (Queteletfonds) by : Bibliothèque centrale (Fonds Quetelet)
Download or read book Aanwinsten van de Centrale Bibliotheek (Queteletfonds) written by Bibliothèque centrale (Fonds Quetelet) and published by . This book was released on 1994 with total page 944 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book OECD Journal written by and published by . This book was released on 2008 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Extracting Nonlinear Signals from Several Economic Indicators by : Máximo Camacho
Download or read book Extracting Nonlinear Signals from Several Economic Indicators written by Máximo Camacho and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non- linear multivariate specification (one-step approach) with the shortcut of using a linear factor model to obtain a coincident indicator which is then used to compute the Markov-switching probabilities (two-step approach). Second, we examine the role of increasing the number of indicators. Our results suggest that one step is generally preferred to two steps, although its marginal gains diminish as the quality of the indicators increases and as more indicators are used to identify the non-linear signal. Using the four constituent series of the Stock-Watson coincident index, we illustrate these results for US data.
Book Synopsis Predicting Turning Points by Modelling Leading Indicators by : Masaki Katsuura
Download or read book Predicting Turning Points by Modelling Leading Indicators written by Masaki Katsuura and published by . This book was released on 2000 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Leading Indicators for the 1990s by : Geoffrey Hoyt Moore
Download or read book Leading Indicators for the 1990s written by Geoffrey Hoyt Moore and published by Irwin Professional Publishing. This book was released on 1990 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: Describes sweeping changes to the Commerce Department's leading economic indicators.
