Predicting Recessions with Factor Linear Dynamic Harmonic Regressions
DOI10.1002/FOR.2246zbMATH Open1397.62512OpenAlexW2151239969MaRDI QIDQ4687337FDOQ4687337
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
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- scientific article; zbMATH DE number 1208131
factor analysisbusiness cyclesleading indicatormonthly targeted predictorssmall-scale dynamic factor models
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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- The term spread as a monthly cyclical indicator: An evaluation
- Business cycles in the euro area defined with coincident economic indicators and predicted with leading economic indicators
- Generalised signed-rank estimation for nonlinear models with multidimensional indices
- On the invertibility of seasonally adjusted series
- Predicting the probability of a recession with nonlinear autoregressive leading-indicator models
- An approach for identifying and predicting economic recessions in real-time using time-frequency functional models
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