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dc.contributor.authorKholodilin, Konstantin Arkadievichen
dc.date.accessioned2009-01-28T15:47:13Z-
dc.date.available2009-01-28T15:47:13Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/18447-
dc.description.abstractThe appropriately selected leading indicators can substantially improve the forecasting of the peaks and troughs of the business cycle. Using the novel methodology of the dynamic bi-factor model with Markov switching and the data for three largest European economies (France, Germany, and UK) we construct composite leading indicator (CLI) and composite coincident indicator (CCI) as well as corresponding recession probabilities. We estimate also a rival model of the Markov-switching VAR in order to see, which of the two models brings better outcomes. The recession dates derived from these models are compared to three reference chronologies: those of OECD and ECRI (growth cycles) and those obtained with quarterly Bry-Boschan procedure (classical cycles). Dynamic bi-factor model and MSVAR appear to predict the cyclical turning points equally well without systematic superiority of one model over another.en
dc.language.isoengen
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen
dc.relation.ispartofseries|aDIW Discussion Papers |x554en
dc.subject.jelE32en
dc.subject.jelC10en
dc.subject.ddc330en
dc.subject.keywordForecasting turning pointsen
dc.subject.keywordcomposite coincident indicatoren
dc.subject.keywordcomposite leading indicatoren
dc.subject.keyworddynamic bi-factor modelen
dc.subject.keywordMarkov switchingen
dc.titleUsing the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies-
dc.typeWorking Paperen
dc.identifier.ppn508570433en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:diw:diwwpp:dp554en

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