Forecasting recessions: can we do better on MARS?

Peter Sephton ()

Review, 2001, vol. 83, issue Mar, 39-49

Abstract: A number of recent articles have examined the ability of financial variables to predict recessions. In this article, Peter Sephton extends the literature by considering a non-linear, nonparametric approach to predicting the probability of recession using multivariate adaptive regression splines (MARS). The results suggest that this data-intensive approach to modeling is not a panacea for recession forecasting. Although it does well explaining the data within the sample, its out-of-sample forecasts do not improve upon the benchmark probit specification.

Keywords: Recessions; Forecasting (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (19)

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