Combination schemes for turning point predictions

Monica Billio, Roberto Casarin, Francesco Ravazzolo and Herman van Dijk

The Quarterly Review of Economics and Finance, 2012, vol. 52, issue 4, 402-412

Abstract: We propose new forecast combination schemes for predicting turning points of business cycles. The proposed combination schemes are based on the forecasting performances of a given set of models with the aim to provide better turning point predictions. In particular, we consider predictions generated by autoregressive (AR) and Markov-switching AR models, which are commonly used for business cycle analysis. In order to account for parameter uncertainty we consider a Bayesian approach for both estimation and prediction and compare, in terms of statistical accuracy, the individual models and the combined turning point predictions for the United States and the Euro area business cycles.

Keywords: Turning points; Markov-switching; Forecast combination; Bayesian model averaging (search for similar items in EconPapers)
JEL-codes: C11 C15 C53 E37 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (34)

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Related works:
Working Paper: Combination schemes for turning point predictions (2012)
Working Paper: Combination schemes for turning point predictions (2012)
Working Paper: Combination Schemes for Turning Point Predictions (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:52:y:2012:i:4:p:402-412

DOI: 10.1016/j.qref.2012.08.002

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