Probability forecast of downturn in U.S. economy using classical statistical decision theory

Empirical Economics

Volumn 21, Issue 2, 1996, Pages 255-279

  Mostaghimi, Mehdi ^a   Rezayat, Fahimeh ^b  

^a SOUTHERN CONNECTICUT STATE UNIVERSITY   (United States)

^b CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

Business Cycle; Composite Leading Indicators; Information Theory; Likelihood Ratio; Probability Forecast Evaluation; Probability Forecast of a Turning Point

Indexed keywords

COMPOSITE LEADING INDICATOR; ECONOMIC PERFORMANCE; METHODOLOGICAL EVALUATION; PROBABILITY FORECAST;

USA;

EID: 0030459565     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01175973     Document Type: Article

References (23)

1. Auerbach AJ (1982) The index of leading indicators: Measurement without theory, thirty five years later. Review of Economics and Statistics 64
2. Brier GW (1950) Verification of forecasts expressed in terms of probability. Monthly Weather Review 75:1-3
3. Brown DE, Smith RL (1986) A weak law of large numbers for rare events. Technical Report 86-4, Department of Industrial and Operations Engineering, University of Michigan, Ann Arbor
4. Chernoff H (1954) On the distribution of the likelihood ratio. Ann of Math Stats 25
5. Dawid AP (1984) Statistical theory: The prequential approach. Journal of the Royal Statistical Society A/147:278-92
6. Diebold FX, Rudebusch GD (1989) Scoring the leading indicators. Journal of Business 62
7. Hamilton JD (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57:357-384
8. Hymans SH (1973) On the use of leading indicators to predict cyclical turning points. Brookings Papers on Economics Activity
9. Kling JL (1987) Predicting the turning points of business and economic time series. Journal of Business 60
10. Knuth DE (1976) The art of computer programming, Vol 1, 2nd edition. Reading MA, Addison-Wesley
11. Kullback S (1959) Information theory and statistics. Dover Publications Inc
12. Lahiri K, Moore GH (1991) Leading economic indicators: New approaches and forecasting records. New York, Cambridge University Press
13. Murphy AH (1973) A new vector partition of the probability score. Journal of Applied Meterology 12:595-600
14. Neftci SN (1979) Lead-lag relations, exogeneity, and prediction of economic time series. Econometrica 47
15. Neftci SN (1982) Optimal prediction of cyclical downturns. Journal of Economic Dynamics and Control 4
16. Okun AM (1960) On the appraisal of cyclical turning point predictors. Journal of Business 33
17. Shannon CD, Weaver W (1949) The mathematical theory of communication. Urbana, University of Illinois Press
18. Soofi ES (1994) Capturing the intangible concept of information. Journal of American Statistical Association 89/428
19. Stock JH, Watson MW (1992) A procedure for predicting recessions with leading indicators: Econometric Issues and Recent Experience. NBER Working Paper 4014
20. Wecker WE (1979) Predicting the turning points of a time series. Journal of Business 52
21. Winkler RL (1969) Scoring rules and the evaluation of probability assessors. Journal of the American Statistical Association 64:1073-78
22. Zarnowitz V (1990) A guide to what is known about business cycles. Business Economics July
23. Zarnowitz V, Moore G (1982) Sequential signals of recession and recovery. Journal of Business 55