Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators

DOI10.1002/FOR.1146MaRDI QIDQ3065486zbMATH OpenOpenAlexFDO

Authors Ataman Ozyildirim, Brian Schaitkin, Victor Zarnowitz

Publication date 6 January 2011

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

Full work available at URL https://doi.org/10.1002/for.1146

zbMATH Keywords

forecastingtime seriesbusiness cycleindicatorsleading index

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity
• Introducing the euro area-wide leading indicator (ALI): real-time signals of turning points in the growth cycle from 2007 to 2011
• Chapter 1 Dating Business Cycle Turning Points
• Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
• Predicting Recessions with Factor Linear Dynamic Harmonic Regressions

Cites work

• A consistent test for nonlinear out of sample predictive accuracy.
• Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
• Out-of-sample tests for Granger causality
• Tests of Conditional Predictive Ability
• Tests of equal forecast accuracy and encompassing for nested models

Cited in

(9)

• Fat tails in leading indicators
• Business cycle tracer: a new approach to business cycle analysis
• Introducing the euro area-wide leading indicator (ALI): real-time signals of turning points in the growth cycle from 2007 to 2011
• The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity
• Lasso–type and Heuristic Strategies in Model Selection and Forecasting
• Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
• The principal-agent model in venture investment based on fairness preference
• A coincident index for the state of the economy
• scientific article; zbMATH DE number 1525124 (Why is no real title available?)

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