Dating and Forecasting the Economic Cycle
DOI:
https://doi.org/10.18559/tsfysk87Keywords:
Business fluctuations, Markov models, Forecasting, Probit modelAbstract
The objective of this paper is to date and to forecast the various stages - expansions and contractions - of economic activity. It first presents dating procedures, both non-parametric and parametric, the latter based on the Markov-switching model. It then develops a dynamic probit model, specifically designed to forecast the turning points of the conjuncture. Finally, these models are successfully applied to a data series of the French GDP.
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