Ex ante forecasts of business-cycle turning points |
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Authors: | Rolando F. Pelàez |
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Affiliation: | (1) Finance Department College of Business, University of Houston-Downtown, One Main Street, Houston, TX, 77002, USA |
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Abstract: | This paper presents a logit model that accurately forecasts business-cycle turning points with a lead of one-quarter. The sample period consists of an initialization subset (1959:Q3–1975:Q4), and a subset for out-of-sample forecast evaluation (1976:Q1–2005:Q4). In contrast with the record of disappointing results in the literature, the model correctly forecasts all turning points in the test subset without forecasting recessions that did not occur. |
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Keywords: | Forecasting Business cycles |
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