Aastveit, K.A. ; Anundsen, A.K. ; Herstad, E.I. Residential investment and recession predictability. 2019 International Journal of Forecasting. 35 1790-1799
Aastveit, K.A. ; Jore, A.S. ; Ravazzolo, F. Identification and real-time forecasting of Norwegian business cycles. 2016 International Journal of Forecasting. 32 283-292
- Adrian, T. ; Boyarchenko, N. ; Giannone, D. Vulnerable growth. 2019 American Economic Review. 109 1263-1289
Paper not yet in RePEc: Add citation now
Bazzi, M. ; Blasques, F. ; Koopman, S.J. ; Lucas, A. Time-varying transition probabilities for Markov regime switching models. 2017 Journal of Time Series Analysis. 38 458-478
Berge, T.J. ; Jordà, Ò. Evaluating the classification of economic activity into recessions and expansions. 2011 American Economic Journal: Macroeconomics. 3 246-277
Blasques, F. ; Francq, C. ; Laurent, S. Quasi score-driven models. 2023 Journal of Econometrics. 234 251-275
Blasques, F. ; Koopman, S.J. ; Lucas, A. Information-theoretic optimality of observation-driven time series models for continuous responses. 2015 Biometrika. 102 325-343
Boldin, M.D. Dating turning points in the business cycle. 1994 Journal of Business. 67 97-131
Bry, G. ; Boschan, C. Standard business cycle analysis of economic time series. 1971 En : Cyclical Analysis of Time Series: Selected Procedures and Computer Programs. NBER:
Burns, A.F. ; Mitchell, W.C. The basic measures of cyclical behavior. 1946 En : Measuring Business Cycles. NBER:
- Caldara, D. ; Cascaldi-Garcia, D. ; Cuba-Borda, P. ; Loria, F. Understanding growth-at-risk: a Markov-switching approach. 2020 Philaldephia Fed Conference on Real-Time Data Analysis, Methods and Applications:
Paper not yet in RePEc: Add citation now
Camacho, M. ; Perez-Quiros, G. ; Poncela, P. Markov-switching dynamic factor models in real time. 2018 International Journal of Forecasting. 34 598-611
Carstensen, K. ; Heinrich, M. ; Reif, M. ; Wolters, M.H. Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model: an application to the German business cycle. 2020 International Journal of Forecasting. 36 829-850
Chauvet, M. An econometric characterization of business cycle dynamics with factor structure and regime switching. 1998 International Economic Review. 39 969-996
Chauvet, M. ; Piger, J. A comparison of the real-time performance of business cycle dating methods. 2008 Journal of Business & Economic Statistics. 26 42-49
Chauvet, M. ; Piger, J. Identifying business cycle turning points in real time. 2003 Federal Reserve Bank of St. Louis Review. 85 47-
- Chauvet, M. ; Senyuz, Z. A dynamic factor model of the yield curve components as a predictor of the economy. 2016 International Journal of Forecasting. 32 324-343
Paper not yet in RePEc: Add citation now
Creal, D. ; Koopman, S.J. ; Lucas, A. Generalized autoregressive score models with applications. 2013 Journal of Applied Econometrics. 28 777-795
- DeLong, E.R. ; DeLong, D.M. ; Clarke-Pearson, D.L. Comparing the areas under two or more correlated receiver operating characteristic curves: a nonparametric approach. 1988 Biometrics. 44 837-845
Paper not yet in RePEc: Add citation now
- Diebold, F.X. ; Lee, J.-H. ; Weinbach, G.C. Regime switching with time-varying transition probabilities. 1994 Business Cycles: Durations, Dynamics, and Forecasting. 1 144-165
Paper not yet in RePEc: Add citation now
Diebold, F.X. ; Rudebusch, G.D. Measuring business cycles: a modern perspective. 1996 The Review of Economics and Statistics. 78 67-77
Doz, C. ; Ferrara, L. ; Pionnier, P.-A. Business cycle dynamics after the great recession: an extended Markov-switching dynamic factor model. 2020 OECD Statistics Working Papers 2020/01:
Durland, J.M. ; McCurdy, T.H. Duration-dependent transitions in a Markov model of US GNP growth. 1994 Journal of Business & Economic Statistics. 12 279-288
Eo, Y. ; Kim, C.-J. Markov-switching models with evolving regime-specific parameters: Are postwar booms or recessions all alike?. 2016 The Review of Economics and Statistics. 98 940-949
Eo, Y. ; Morley, J. Why has the US economy stagnated since the Great Recession?. 2022 The Review of Economics and Statistics. 104 246-258
- Estrella, A. ; Mishkin, F.S. Predicting US recessions: Financial variables as leading indicators. 1998 The Review of Economics and Statistics. 80 45-61
Paper not yet in RePEc: Add citation now
Filardo, A.J. Business-cycle phases and their transitional dynamics. 1994 Journal of Business & Economic Statistics. 12 299-308
Filardo, A.J. ; Gordon, S.F. Business cycle durations. 1998 Journal of Econometrics. 85 99-123
Groshen, E.L. ; Potter, S. Has structural change contributed to a jobless recovery?. 2003 Current Issues in Economics and Finance. 9 -
Hamilton, J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. 1989 Econometrica. 57 357-384
Hamilton, J.D. Calling recessions in real time. 2011 International Journal of Forecasting. 27 1006-1026
Harding, D. ; Pagan, A. A comparison of two business cycle dating methods. 2003 Journal of Economic Dynamics & Control. 27 1681-1690
- Harvey, A.C. Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series. 2013 Cambridge University Press:
Paper not yet in RePEc: Add citation now
Huang, Y.-F. ; Startz, R. Improved recession dating using stock market volatility. 2020 International Journal of Forecasting. 36 507-514
Kim, C.-J. Dynamic linear models with Markov-switching. 1994 Journal of Econometrics. 60 1-22
Kim, C.-J. ; Nelson, C.R. Business cycle turning points, a new coincident index, and tests of duration dependence based on a dynamic factor model with regime switching. 1998 The Review of Economics and Statistics. 80 188-201
Kim, C.-J. ; Nelson, C.R. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. 1999 The MIT Press:
Koopman, S.J. ; Lucas, A. ; Scharth, M. Predicting time-varying parameters with parameter-driven and observation-driven models. 2016 The Review of Economics and Statistics. 98 97-110
Layton, A.P. Dating and predicting phase changes in the US business cycle. 1996 International Journal of Forecasting. 12 417-428
Layton, A.P. ; Katsuura, M. Comparison of regime switching, probit and logit models in dating and forecasting US business cycles. 2001 International Journal of Forecasting. 17 403-417
Liu, W. ; Mönch, E. What predicts US recessions?. 2016 International Journal of Forecasting. 32 1138-1150
McConnell, M.M. ; Perez-Quiros, G. Output fluctuations in the United States: What has changed since the early 1980’s?. 2000 American Economic Review. 90 1464-1476
Ng, S. ; Wright, J.H. Facts and challenges from the Great Recession for forecasting and macroeconomic modeling. 2013 Journal of Economic Literature. 51 1120-1154
Rudebusch, G.D. ; Williams, J.C. Forecasting recessions: the puzzle of the enduring power of the yield curve. 2009 Journal of Business & Economic Statistics. 27 492-503
- Scavette, A. Are we in a recession? The ‘anxious index nowcast’ knows!. 2014 Federal Reserve Bank of Philadelphia Special Report:
Paper not yet in RePEc: Add citation now
Sichel, D.E. Inventories and the three phases of the business cycle. 1994 Journal of Business & Economic Statistics. 12 269-277
Stock, J.H. ; Watson, M.W. A procedure for predicting recessions with leading indicators: econometric issues and recent experience. 1993 Business Cycles, Indicators and Forecasting. 28 95-156
Stock, J.H. ; Watson, M.W. Estimating turning points using large data sets. 2014 Journal of Econometrics. 178 368-381
Stock, J.H. ; Watson, M.W. Implications of dynamic factor models for VAR analysis. 2005 NBER Working Paper 11467:
Stock, J.H. ; Watson, M.W. Indicators for dating business cycles: cross-history selection and comparisons. 2010 American Economic Review. 100 16-19
Stock, J.H. ; Watson, M.W. New indexes of coincident and leading economic indicators. 1989 NBER Macroeconomics Annual. 4 351-394
Watanabe, T. Measuring business cycle turning points in Japan with a dynamic Markov switching factor model. 2003 Monetary Econ. Stud.. 21 35-68