More on Nonlinear Forecasting Over the Cycle

Related to 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." Kotchoni-Stevanovic and Guerron-Quintana-Zhong are usefully read together.