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Combination schemes for turning point predictions

  • 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)

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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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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