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Pre‐recession pattern of six economic indicators in the USA
Author(s) -
KeilisBorok V.,
Stock J. H.,
Soloviev A.,
Mikhalev P.
Publication year - 2000
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/(sici)1099-131x(200001)19:1<65::aid-for730>3.0.co;2-u
Subject(s) - recession , benchmark (surveying) , parameterized complexity , econometrics , sample (material) , computer science , statistics , algorithm , mathematics , economics , geography , macroeconomics , cartography , chemistry , chromatography
This paper applies a tightly parameterized pattern recognition algorithm, previously applied to earthquake prediction, to the problem of predicting recessions. Monthly data from 1962 to 1996 on six leading and coincident economic indicators for the USA are used. In the full sample, the model performs better than benchmark linear and non‐linear models with the same number of parameters. Subsample and recursive analysis indicates that the algorithm is stable and produces reasonably accurate forecasts even when estimated using a small number of recessions. Copyright © 2000 John Wiley & Sons, Ltd.