||
文献与数据代码:
Calling Recessions in Real TimeNBER Working Paper No. 16162
Issued in July 2010
NBER Program(s): EFG
This paper surveys efforts to automate the dating of business cycle turning points. Doing this on a real time, out-of-sample basis is a bigger challenge than many academics might presume due to factors such as data revisions and changes in economic relationships over time. The paper stresses the value of both simulated real-time analysis-- looking at what the inference of a proposed model would have been using data as they were actually released at the time-- and actual real-time analysis, in which a researcher stakes his or her reputation on publicly using the model to generate out-of-sample, real-time predictions. The immediate publication capabilities of the internet make the latter a realistic option for researchers today, and many are taking advantage of it. The paper reviews a number of approaches to dating business cycle turning points and emphasizes the fundamental trade-off between parsimony-- trying to keep the model as simple and robust as possible-- and making full use of available information. Different approaches have different advantages, and the paper concludes that there may be gains from combining the best features of several different approaches.
This paper is available as PDF (518 K) or via email.
Machine-readable bibliographic record - MARC, RIS, BibTeX
Document Object Identifier (DOI): 10.3386/w16162
Published: Hamilton, James D., 2011. "Calling recessions in real time," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1006-1026, October. citation courtesy of
Users who downloaded this paper also downloaded these:Chauvet and Hamilton | w11422 Dating Business Cycle Turning Points |
Wang and Whalley | w16142 The Trade Performance of Asian Economies During and Following the 2008 Financial Crisis |
Hamilton | w16186 Nonlinearities and the Macroeconomic Effects of Oil Prices |
Leamer | w14221 What's a Recession, Anyway? |
Bordo and Landon-Lane | w15731 Exits from Recessions: The U.S. Experience 1920-2007 |
Archiver|手机版|科学网 ( 京ICP备07017567号-12 )
GMT+8, 2024-6-9 13:15
Powered by ScienceNet.cn
Copyright © 2007- 中国科学报社