Predicting Recessions with Factor Linear Dynamic Harmonic Regressions

DOI10.1002/FOR.2246MaRDI QIDQ4687337zbMATH OpenOpenAlexFDO

Authors Marcos Bujosa, Antonio García-Ferrer, Aránzazu de Juan

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2246

zbMATH Keywords

business cyclesfactor analysisleading indicatormonthly targeted predictorssmall-scale dynamic factor models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cited in

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• Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
• Dynamic probit models and financial variables in recession forecasting
• Dissecting the financial cycle with dynamic factor models
• Introducing the euro area-wide leading indicator (ALI): real-time signals of turning points in the growth cycle from 2007 to 2011
• Generalised signed-rank estimation for nonlinear models with multidimensional indices
• Global prediction of recessions
• An approach for identifying and predicting economic recessions in real-time using time-frequency functional models
• Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
• Nowcasting the state of the economy: an application of linear combinations of dynamic common factors to the Colombian economy

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