Recession Detection Using Classifiers on the Anticipation-Precision Frontier

Pascal Michaillat

Papers from arXiv.org

Abstract: This paper develops an algorithm for detecting US recessions in real time. The algorithm constructs hundreds of millions of recession classifiers by combining unemployment and vacancy data. Classifiers are then selected to avoid both false negatives (missed recessions) and false positives (nonexistent recessions). The selected classifiers are perfect in a statistical sense: they identify all 15 historical recessions in the 1929--2021 training period without any false positives. By further selecting classifiers that lie on the high-precision segment of the anticipation-precision frontier, the algorithm delivers early detection without sacrificing accuracy. On average between 1929 and 2021, the selected classifier ensemble signals recessions 2.1 months after their true onset, with a standard deviation of detection errors of 1.8 months. The classifier ensemble is much faster than the NBER Business Cycle Dating Committee: between 1979 and 2021, the committee takes on average 6.3 months to determine recession starts, while the classifier ensemble only takes 1.2 months. Applied to September 2025 data, the classifier ensemble gives a 64% probability that the US economy has entered a recession. A placebo test and backtests confirm the algorithm's reliability.

Date: 2025-06, Revised 2025-12
New Economics Papers: this item is included in nep-cmp and nep-his
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2506.09664 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2506.09664

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().