Anticipating business-cycle turning points in real time using density forecasts from a VAR
نویسندگان
چکیده
منابع مشابه
Anticipating business-cycle turning points in real time using density forecasts from a VAR
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability mass below (or above) a given threshold value. We show how this approach can be used in real time in the...
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ژورنال
عنوان ژورنال: Journal of Macroeconomics
سال: 2016
ISSN: 0164-0704
DOI: 10.1016/j.jmacro.2015.12.002