Combination Schemes for Turning Point Predictions

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

No 11-123/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper resulted in a publication in 'The Quarterly Review of Economics and Finance' , 2012, 52(4), 402-412.

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point 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 to 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 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: 2011-08-22
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Related works:
Journal Article: Combination schemes for turning point predictions (2012)
Working Paper: Combination schemes for turning point predictions (2012)
Working Paper: Combination schemes for turning point predictions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20110123

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