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Author : Masaki Katsuura
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.:/5 (222 download)
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:
Author :
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.X/5 (2 download)
Download or read book Turning Point Prediction for the UK Using CSO Leading Indicators written by and published by . This book was released on 1993 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Konstantin A. Kholodilin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author : Kajal Lahiri
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (753 download)
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:
Author : James W. Coons
Publisher : Routledge
ISBN 13 : 1317498658
Total Pages : 154 pages
Book Rating : 4.3/5 (174 download)
Download or read book Predicting Turning Points in the Interest Rate Cycle (RLE: Business Cycles) written by James W. Coons and published by Routledge. This book was released on 2015-03-24 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1994 and the recipient of the Stonier Library Award, this volume evaluates an alternative approach – the sequential filter- to managing the uncertainty inherent in the future course of the interest rate cycle. The specific hypothesis is that the sequential filter can produce valuable signals of cyclical peaks and troughs in interest rates. The analysis focusses on US interest rates from April 1953 to December 1988.
Author : Chris Brooks
Publisher : Cambridge University Press
ISBN 13 : 1139487167
Total Pages : 474 pages
Book Rating : 4.1/5 (394 download)
Download or read book Real Estate Modelling and Forecasting written by Chris Brooks and published by Cambridge University Press. This book was released on 2010-04-15 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt: As real estate forms a significant part of the asset portfolios of most investors and lenders, it is crucial that analysts and institutions employ sound techniques for modelling and forecasting the performance of real estate assets. Assuming no prior knowledge of econometrics, this book introduces and explains a broad range of quantitative techniques that are relevant for the analysis of real estate data. It includes numerous detailed examples, giving readers the confidence they need to estimate and interpret their own models. Throughout, the book emphasises how various statistical techniques may be used for forecasting and shows how forecasts can be evaluated. Written by a highly experienced teacher of econometrics and a senior real estate professional, both of whom are widely known for their research, Real Estate Modelling and Forecasting is the first book to provide a practical introduction to the econometric analysis of real estate for students and practitioners.
Author : Sotiris Tsolacos
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)
Download or read book On the Predictive Content of Leading Indicators written by Sotiris Tsolacos and published by . This book was released on 2013 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs a probit model and a Markov switching model using information from the Conference Board Leading Indicator series to detect the turning points in four key US commercial rents series. We find that both the approaches based on the leading indicator have considerable power to predict changes in the direction of commercial rents up to two years ahead, exhibiting strong improvements over a naïve model, especially for the warehouse and apartment sectors. The empirical support for the adequacy of these prediction methodologies, from both in-sample and real time forecasting assessments, makes them a valuable tool to real estate professionals forecasting the US real estate markets. We find that while the Markov switching model nominally appears to be more successful in predicting periods of negative growth, it lags behind actual turnarounds in market outcomes whereas the probit is able to detect turning points several quarters ahead.
Author : G. Elliott
Publisher : Elsevier
ISBN 13 : 0444513957
Total Pages : 1071 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-07-14 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Author : Kajal Lahiri
Publisher : Cambridge University Press
ISBN 13 : 9780521438582
Total Pages : 488 pages
Book Rating : 4.4/5 (385 download)
Download or read book Leading Economic Indicators written by Kajal Lahiri and published by Cambridge University Press. This book was released on 1991 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed fifty years ago by the National Bureau of Economic Research, the analytic methods of business cycles and economic indicators enable economists to forecast economic trends by examining the repetitive sequences that occur in business cycles. The methodology has proven to be an inexpensive and useful tool that is now used extensively throughout the world. In recent years, however, significant new developments have emerged in the field of business cycles and economic indicators. This volume contains twenty-two articles by international experts who are working with new and innovative approaches to indicator research. They cover advances in three broad areas of research: the use of new developments in economic theory and time-series analysis to rationalise existing systems of indicators; more appropriate methods to evaluate the forecasting records of leading indicators, particularly of turning point probability; and the development of new indicators.
Author : Travis J. Berge
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Predicting Recessions with Leading Indicators written by Travis J. Berge and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Four model selection methods are applied to the problem of predicting business cycle turning points: equally-weighted forecasts, Bayesian model averaged forecasts, and two models produced by the machine learning algorithm boosting. The model selection algorithms condition on different economic indicators at different forecast horizons. Models produced by BMA and boosting outperform equally-weighted forecasts, even out of sample. Nonlinear models also appear to outperform their linear counterparts. Although the forecast ability of the yield curve endures, additional conditioning variables improves forecast ability. The findings highlight several important features of the business cycle.
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.3/5 ( download)
Download or read book Ex Ante Turning Point Forecasting with the Composite Leading Index written by Francis X. Diebold and published by . This book was released on 1988 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book Scoring the Leading Indicators written by Francis X. Diebold and published by . This book was released on 1987 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James H. Stock
Publisher : University of Chicago Press
ISBN 13 : 0226774740
Total Pages : 350 pages
Book Rating : 4.2/5 (267 download)
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.
Author : Jonas Dovern
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (26 download)
Download or read book Predicting Growth Rates and Recessions written by Jonas Dovern and published by . This book was released on 2008 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Beatrice N. Vaccara
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (351 download)
Download or read book Forecasting with the Index of Leading Indicators written by Beatrice N. Vaccara and published by . This book was released on 1978 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The composite index of leading indicators is found to be a valuable tool for predicting not only the direction but also the size of near- term changes in aggregate economic activity. This conclusion is based on assessments of the leading index as a predictor of (1) business cycle turning points as dated by the National Bureau of Economic Research and (2) quantitative changes in real GNP and the composite index of coincident indicators. Specific smoothing rules are identified which reduce the frequency of false signals but still provide adequate early warning of cyclical turning points. Simple regression models based on first differences in the logarithms produce a comparatively good record of forecasts one and two quarters ahead. The best results are obtained by using predictive chains whereby, e.g., quarterly changes in the lagging index (inverted) for Q[sub t] are used to forecast changes in the leading index in quarter Q which in turn are used to forecast changes in real GNP (or the coincident index) in Q[sub t+2]
Author : Robert Alan Yaffee
Publisher : Elsevier
ISBN 13 : 0080478700
Total Pages : 555 pages
Book Rating : 4.0/5 (84 download)
Download or read book An Introduction to Time Series Analysis and Forecasting written by Robert Alan Yaffee and published by Elsevier. This book was released on 2000-05-12 with total page 555 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing a clear explanation of the fundamental theory of time series analysis and forecasting, this book couples theory with applications of two popular statistical packages--SAS and SPSS. The text examines moving average, exponential smoothing, Census X-11 deseasonalization, ARIMA, intervention, transfer function, and autoregressive error models and has brief discussions of ARCH and GARCH models. The book features treatments of forecast improvement with regression and autoregression combination models and model and forecast evaluation, along with a sample size analysis for common time series models to attain adequate statistical power. The careful linkage of the theoretical constructs with the practical considerations involved in utilizing the statistical packages makes it easy for the user to properly apply these techniques. - Describes principal approaches to time series analysis and forecasting - Presents examples from public opinion research, policy analysis, political science, economics, and sociology - Math level pitched to general social science usage - Glossary makes the material accessible for readers at all levels
Author : Anna Pestova
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Download or read book Leading Indicators of the Business Cycle written by Anna Pestova and published by . This book was released on 2015 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I develop the leading indicators of the business cycle turning points exploiting the quarterly panel dataset comprising OECD countries and Russia over the 1980-2013 period. Contrasting to the previous studies, I combine data on OECD countries and Russia into a single dataset and develop universal models suitable for the entire sample with a quality of predictions comparable to the analogues of single-country models. On the basis of conventional dynamic discrete dependent variable framework I estimate the business cycle leading indicator models at different forecasting horizons (from one to four quarters). The results demonstrate that there is a trade-off between forecasting accuracy and the earliness of the recession signal. Best predictions are achieved for the model with one quarter lag (approximately 94% of the observations were correctly classified with a noise-to-signal ratio of 7%). However, even the model with the four quarter lags correctly predicts more than 80% of recessions with the noise-to-signal ratio of 25% can be useful for the policy analysis. I also reveal significant gains of accounting for the credit market variables when forecasting recessions at the long horizons (four quarter lag) as their use leads to a significant reduction of the noise-to-signal ratio of the model. I propose using the “optimal” cut-off threshold of the binary models based on the minimization of regulator loss function arising from different types of wrong classification. I show that this optimal threshold improves model forecasts as compared to other exogenous thresholds.
