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) |
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Refereed: | Yes |
Item Status: | Live Archive |
Additional Information: | Permanent restricted access to published version due to publisher copyright policy. |
Faculty/School / Institute/Centre: | Historic - Faculty of Business - No Department (Up to 31 Dec 2010) |
Faculty/School / Institute/Centre: | Historic - Faculty of Business - No Department (Up to 31 Dec 2010) |
Date Deposited: | 11 Oct 2007 01:16 |
Last Modified: | 17 Aug 2021 02:58 |
Uncontrolled Keywords: | business cycles; regime switching model; logit and probit model; quadratic probability score |
Fields of Research (2008): | 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 |
Fields of Research (2020): | 38 ECONOMICS > 3802 Econometrics > 380203 Economic models and forecasting 38 ECONOMICS > 3803 Economic theory > 380304 Microeconomic theory 38 ECONOMICS > 3802 Econometrics > 380205 Time-series analysis |
Socio-Economic Objectives (2008): | E Expanding Knowledge > 97 Expanding Knowledge > 970114 Expanding Knowledge in Economics |
Identification Number or DOI: | https://doi.org/10.1016/S0169-2070(01)00096-6 |
URI: | http://eprints.usq.edu.au/id/eprint/2907 |
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