Combination Schemes for Turning Point Predictions

Monica Billio, Roberto Casarin, Francesco Ravazzolo, H. K. van Dijk
2012 Social Science Research Network  
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 order to account for parameter uncertainty we consider a Bayesian approach to both estimation and
more » ... ction and compare, in terms of statistical accuracy, the individual models and the combined turning point predictions for the United States and Euro area business cycles. JEL codes: C11, C15, C53, E37.
doi:10.2139/ssrn.2118639 fatcat:gncudttbfbfb5kzrbri35auvu4