Comparison of regime switching, probit and logit models in dating and forecasting US business cycles

Layton, Allan P. and Katsuura, Masaki (2001) Comparison of regime switching, probit and logit models in dating and forecasting US business cycles. International Journal of Forecasting, 17 (3). pp. 403-417. ISSN 0169-2070

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Abstract

Three non-linear model specifications are tested for their efficacy in dating and forecasting US business cycles, viz. a probit specification, a logit specification - both binomial and multinomial alternatives - and a markov, regime-switching specification. The models employ leading indicators compiled by the Economic Cycle Research Institute as putative explanators. They are tested within sample to determine their relative abilities to produce a business cycle chronology similar to the official NBER chronology. They are also tested in a post-sample context to test their relative abilities in anticipating future turning points with the result that the regime-switching model with time-varying transition probabilities performs the best.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Permanent restricted access to published version due to publisher copyright policy.
Depositing User: Mrs Annette Bourne
Faculty / Department / School: Historic - Faculty of Business - No Department
Date Deposited: 11 Oct 2007 01:16
Last Modified: 02 Jul 2013 22:48
Uncontrolled Keywords: business cycles; regime switching model; logit and probit model; quadratic probability score
Fields of Research (FOR2008): 14 Economics > 1403 Econometrics > 140303 Economic Models and Forecasting
14 Economics > 1401 Economic Theory > 140104 Microeconomic Theory
14 Economics > 1403 Econometrics > 140305 Time-Series Analysis
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970114 Expanding Knowledge in Economics
Identification Number or DOI: doi: 10.1016/S0169-2070(01)00096-6
URI: http://eprints.usq.edu.au/id/eprint/2907

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