Comparison of regime switching, probit and logit models in dating and forecasting US business cycles
Article
Article Title | Comparison of regime switching, probit and logit models in dating and forecasting US business cycles |
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ERA Journal ID | 18163 |
Article Category | Article |
Authors | Layton, Allan P. (Author) and Katsuura, Masaki (Author) |
Journal Title | International Journal of Forecasting |
Journal Citation | 17 (3), pp. 403-417 |
Number of Pages | 15 |
Year | 2001 |
Publisher | Elsevier |
Place of Publication | Amsterdam, Netherlands |
ISSN | 0169-2070 |
1872-8200 | |
Digital Object Identifier (DOI) | https://doi.org/10.1016/S0169-2070(01)00096-6 |
Web Address (URL) | https://www.sciencedirect.com/science/article/pii/S0169207001000966 |
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 |
Keywords | business cycles; regime switching model; logit and probit model; quadratic probability score |
ANZSRC Field of Research 2020 | 380203. Economic models and forecasting |
380304. Microeconomic theory | |
380205. Time-series analysis | |
Public Notes | Files associated with this item cannot be displayed due to copyright restrictions. |
Byline Affiliations | Queensland University of Technology |
Meijo University, Japan |
https://research.usq.edu.au/item/9y4x9/comparison-of-regime-switching-probit-and-logit-models-in-dating-and-forecasting-us-business-cycles
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