Monday, August 15, 2016
More on Nonlinear Forecasting Over the Cycle
my last post
, here's a new paper that just arrived from
Rachidi Kotchoni and Dalibor Stevanovic, "Forecasting U.S. Recessions and Economic Activity"
. It's not non-parametric, but it is non-linear. As Dalibor put it, "The method is very simple: predict turning points and recession probabilities in the first step, and then augment a direct AR model with the forecasted probability."
are usefully read together.
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