Predicting Recessions with Factor Linear Dynamic Harmonic Regressions
نویسندگان
چکیده
منابع مشابه
Linear dynamic harmonic regression
Among the alternative Unobserved Components formulations within the stochastic state space setting, the Dynamic Harmonic Regression (DHR) model has proven to be particularly useful for adaptive seasonal adjustment, signal extraction, forecasting and back-casting of time series. First, it is shown how to obtain ARMA representations for the DHR components under a Generalized Random Walk setting f...
متن کاملStationary Markov chains with linear regressions
In Bryc(1998) we determined one dimensional distributions of a stationary field with linear regressions (1) and quadratic conditional variances (2) under a linear constraint (7) on the coefficients of the quadratic expression (3). In this paper we show that for stationary Markov chains with linear regressions and quadratic conditional variances the coefficients of the quadratic expression are i...
متن کاملStationary random fields with linear regressions ∗
We analyze and identify stationary fields with linear regressions and quadratic conditional variances. We give sufficient conditions to determine one dimensional distributions uniquely as normal, and as certain compactly-supported distributions. Our technique relies on orthogonal polynomials, which under our assumptions turn out to be a version of the so called continuous q-Hermite polynomials.
متن کاملThe Yield Curve and Predicting Recessions
The slope of the Treasury yield curve has often been cited as a leading economic indicator, with inversion of the curve being thought of as a harbinger of a recession. In this paper, I consider a number of probit models using the yield curve to forecast recessions. Models that use both the level of the federal funds rate and the term spread give better insample fit, and better out-of-sample pre...
متن کاملHarmonic grammar with linear programming ∗
We show that Harmonic Grammars (HGs) translate into linear systems and are thus solvable using the simplex algorithm, an efficient, widely-deployed optimization algorithm that is guaranteed to deliver the optimal solution if there is one and to detect when no solution exists. Our associated software package HaLP provides a practical tool for studying even large and complex HGs. We provide an in...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2013
ISSN: 0277-6693
DOI: 10.1002/for.2246