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Comparison of regime switching, probit and logit models in dating and forecasting US business cycles

  • Layton, Allan P.
  • Katsuura, Masaki

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/B6V92-43K9T25-6/2/8444fa5484f913dd802728bf1ec8a25c
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 17 (2001)
Issue (Month): 3 ()
Pages: 403-417

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Handle: RePEc:eee:intfor:v:17:y:2001:i:3:p:403-417
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
  2. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  3. Arturo Estrella & Frederic S. Mishkin, 1995. "Predicting U.S. Recessions: Financial Variables as Leading Indicators," NBER Working Papers 5379, National Bureau of Economic Research, Inc.
  4. Layton, Allan P., 1996. "Dating and predicting phase changes in the U.S. business cycle," International Journal of Forecasting, Elsevier, vol. 12(3), pages 417-428, September.
  5. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, October.
  6. Andrew J. Filardo, 1993. "Business cycle phases and their transitional dynamics," Research Working Paper 93-14, Federal Reserve Bank of Kansas City.
  7. Diebold, Francis X & Rudebusch, Glenn D, 1989. "Scoring the Leading Indicators," The Journal of Business, University of Chicago Press, vol. 62(3), pages 369-91, July.
  8. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1 National Bureau of Economic Research, Inc.
  9. Layton, Allan P., 1998. "A further test of the influence of leading indicators on the probability of US business cycle phase shifts," International Journal of Forecasting, Elsevier, vol. 14(1), pages 63-70, March.
  10. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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