Predicting Recessions : A New Approach for Identifying Leading Indicators and Forecast Combinations /
This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data shows...
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| Formato: | Revista |
| Lenguaje: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2011.
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| Colección: | IMF Working Papers; Working Paper ;
No. 2011/235 |
| Acceso en línea: | Full text available on IMF |