Prediction of the start of next recession using latent factors

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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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
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

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