286
Views
13
CrossRef citations to date
0
Altmetric
Original Articles

Forecasting macro variables with a Qual VAR business cycle turning point index

&
Pages 2909-2920 | Published online: 09 Apr 2009

References

  • Albert , JH and Chib , S . 1993 . Bayesian analysis of binary and polychotomous response data . Journal of the American Statistical Association , 88 : 669 – 79 .
  • Bessec , M and Bouabdallah , O . 2005 . What causes the forecasting failure of Markov-switching models? A Monte Carlo study . Studies in Nonlinear Dynamics and Econometrics , 9 Available at http://www.bepress.com/snde/vol9/iss2/art6 (accessed 28 March 2009)
  • Birchenhall , CR , Jessen , H , Osborn , DR and Simpson , PW . 1999 . Predicting US business cycle regimes . Journal of Business and Economic Statistics , 17 : 313 – 23 .
  • Camacho , M and Perez-Quiros , G . 2002 . This is what the leading indicators lead . Journal of Applied Econometrics , 17 : 61 – 80 .
  • Chauvet , M . 1998 . An econometric characterization of business cycle dynamics with factor structure and regime switching . International Economic Review , 39 : 969 – 96 .
  • Chib , S and Greenberg , E . 1996 . Markov Chain Monte Carlo simulation methods in econometrics . Econometric Theory , 12 : 409 – 31 .
  • Dacco , R and Satchell , S . 1999 . Why do regime-switching models forecast so badly? . Journal of Forecasting , 18 : 1 – 16 .
  • Dueker , MJ . 1999 . Conditional heteroscedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate . Journal of Business and Economic Statistics , 17 : 466 – 72 .
  • Dueker , MJ . 2005 . Dynamic forecasts of qualitative variables: a Qual VAR model of US recessions . Journal of Business and Economic Statistics , 23 : 96 – 104 .
  • Dueker , MJ . 2006 . Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models . Economics Letters , 93 : 58 – 62 .
  • Eichengreen , BJ , Watson , MW and Grossman , RS . 1985 . Bank rate policy under the interwar gold standard: a dynamic probit model . Economic Journal , 95 : 725 – 45 .
  • Estrella , A and Mishkin , FS . 1998 . Predicting US recessions: financial variables as leading indicators . Review of Economics and Statistics , 80 : 45 – 61 .
  • Filardo , AJ . 1994 . Business-cycle phases and their transitional dynamics . Journal of Business and Economic Statistics , 12 : 299 – 308 .
  • Gelfand , AE and Smith , AFM . 1990 . Sampling-based approaches to calculating marginal densities . Journal of the American Statistical Association , 85 : 398 – 409 .
  • Hamilton , JD . 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 : 357 – 84 .
  • Leamer , E and Potter , S . 2002 . A nonlinear model of the business cycle Paper presented at the Econometric Society 2004 North American Winter Meeting. Available at http://repec.org/esNAWM04/up.26196.1049203074.pdf (accessed 28 March 2009)
  • Litterman , RB . 1986 . Forecasting with Bayesian vector autoregressions: five years of experience . Journal of Business and Economic Statistics , 4 : 25 – 38 .
  • Robertson , JC and Tallman , EW . 2001 . Improving federal-funds rate forecasts in VAR models used for policy analysis . Journal of Business and Economic Statistics , 19 : 324 – 30 .
  • Romer , CD and Romer , DH . 1989 . “ Does monetary policy matter? A new test in the spirit of Friedman and Schwartz ” . In NBER Macroeconomics Annual , Edited by: Blanchard , OJ and Fischer , S . 121 – 70 . Cambridge : MIT Press .
  • Sims , CA and Zha , TA . 1998 . Bayesian methods for dynamic multivariate models . International Economic Review , 39 : 949 – 68 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.