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

factor analysisbusiness cyclesleading 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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• 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
• Global prediction of recessions

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