Predicting Turning Points
نویسندگان
چکیده
This paper presents a new method for predicting turning points. The paper formally defines a turning point; develops a probit model for estimating the probability of a turning point; and then examines both the in-sample and out-of-sample forecasting performance of the model. The model performs better than some other methods for predicting turning points. *While working on this paper, all three authors were affiliated with the Federal Reserve Bank of Minneapolis. The authors thank Doug Hamilton for his helpful suggestions. The views expressed herein are those of the authors and not necessarily those of the Congressional Budget Office, Federal Reserve Bank of Minneapolis, or the Federal Reserve System.
منابع مشابه
Autoregressive short-term prediction of turning points using support vector regression
This work is concerned with autoregressive prediction of turning points in financial price sequences. Such turning points are critical local extrema points along a series, which mark the start of new swings. Predicting the future time of such turning points or even their early or late identification slightly before or after the fact has useful applications in economics and finance. Building on ...
متن کاملThe Uniqueness Theorem for the Solutions of Dual Equations of Sturm-Liouville Problems with Singular Points and Turning Points
In this paper, linear second-order differential equations of Sturm-Liouville type having a finite number of singularities and turning points in a finite interval are investigated. First, we obtain the dual equations associated with the Sturm-Liouville equation. Then, we prove the uniqueness theorem for the solutions of dual initial value problems.
متن کاملCombinations Schemes for Turning Points Predictions
We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by autoregressive (AR) and Markov-Switching AR models, which are commonly used for business cycle analysis. In ...
متن کاملOn the determination of asymptotic formula of the nodal points for the Sturm-Liouville equation with one turning point
In this paper, the asymptotic representation of the corresponding eigenfunctions of the eigenvalues has been investigated. Furthermore, we obtain the zeros of eigenfunctions.
متن کاملThe numerical values of the nodal points for the Sturm-Liouville equation with one turning point
An inverse nodal problem has first been studied for the Sturm-Liouville equation with one turning point. The asymptotic representation of the corresponding eigenfunctions of the eigenvalues has been investigated and an asymptotic of the nodal points is obtained. For this problem, we give a reconstruction formula for the potential function. Furthermore, numerical examples have been established a...
متن کامل