Pooi, Ah Hin * and Soo, Huei Ching * and Pan, Wei Yeing (2016) Prediction of the start of next recession using latent factors. AIP Conference Proceedings, 1782 (050013). 050013-1. ISSN 1551 7616
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Abstract
The data on the binary recession variable and the latent factors extracted from a large set of economic variables are fitted with a multivariate power-normal distribution. A conditional distribution for the recession variable is obtained from the fitted multivariate distribution. The results based on the US economic data show that the 2.5% point of the conditional distribution provides a good indicator for the start of the next recession.
| Item Type: | Article |
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| Additional Information: | 2nd author is with Heriot-Watt University Malaysia; 3rd author is with Universiti Tunku Abdul Rahman, Malaysia. |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Divisions: | Sunway University > School of Mathematical Sciences > Department of Applied Statistics |
| Depositing User: | Dr Janaki Sinnasamy |
| Date Deposited: | 21 Dec 2016 02:55 |
| Last Modified: | 03 Jul 2019 08:36 |
| URI: | http://eprints.sunway.edu.my/id/eprint/435 |
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