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Combination schemes for turning point predictions

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  • Monica Billio

    ()
    (Department of Economics, University Of Venice Cà Foscari)

  • Roberto Casarin

    (Department of Economics, University Of Venice Cà Foscari)

  • Francesco Ravazzolo

    (Norges Bank)

  • Herman K. van Dijk

    (Erasmus University)

Abstract

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.

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Bibliographic Info

Paper provided by Department of Economics, University of Venice "Ca' Foscari" in its series Working Papers with number 2012_15.

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Length: 31
Date of creation: 2012
Date of revision:
Handle: RePEc:ven:wpaper:2012_15

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Keywords: Turning Points; Markov-switching; Forecast Combination; Bayesian Model Averaging.;

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References

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Citations

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Cited by:
  1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Paper 2013/20, Norges Bank.
  2. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
  3. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
  4. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8 Bank for International Settlements.
  5. Pauwels, Laurent & Vasnev, Andrey, 2014. "Forecast combination for U.S. recessions with real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 138-148.
  6. Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013. "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers 2013:13, Department of Economics, University of Venice "Ca' Foscari".
  7. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
  8. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute.

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