Signaling NBER turning points: a sequential approach

Vasyl Golosnoy and Jens Boysen-Hogrefe

Journal of Applied Statistics, 2013, vol. 40, issue 2, 438-448

Abstract: The dates of the U.S. business cycle are reported by the National Bureau of Economic Research with a considerable delay, so an early notion of turning points is of particular interest. This paper proposes a novel sequential classification approach designed for timely signaling these turning points, using the time series of coincident economic indicators. The approach exhibits a range of theoretical optimality properties for early signaling, moreover, it is transparent and easy to implement. The empirical study evaluates the signaling ability of the proposed methodology.

Date: 2013
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DOI: 10.1080/02664763.2012.748017

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