Measuring the Probability of a Business Cycle Turning Point by using a Multivariate Qualitative Hidden Markov Model

Gregoir, Stéphane and Lenglart, Fabrice (2000) Measuring the Probability of a Business Cycle Turning Point by using a Multivariate Qualitative Hidden Markov Model. International Journal of Forecasting, 19 (2). pp. 81-102.

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Official URL: http://tse-fr.eu/pub/30100

Abstract

A two-step procedure to produce a statistical measure of the probability of being in an accelerating or decelerating phase of economic activity is proposed. It consists of, first, an extraction of the individual linear innovations of a set of relevant macroeconomic variables whose signs are accumulated into a qualitative vector process and, second, of a factor analysis applied to this vector. The factor process is a two-state Markov process of order one whose states are described as favourable and unfavourable. Estimated on French business surveys, this measure appears to be a competitive coincident indicator. Copyright © 2000 John Wiley & Sons, Ltd.

Item Type: Article
Language: English
Date: March 2000
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 22 Jan 2016 09:32
Last Modified: 07 Mar 2018 13:23
OAI ID: oai:tse-fr.eu:30100
URI: http://publications.ut-capitole.fr/id/eprint/19398

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