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Combination Schemes for Turning Point Predictions

Tinbergen Institute Discussion Paper No. 11-123/4

23 Pages Posted: 22 Aug 2011  

Monica Billio

Ca Foscari University of Venice - Dipartimento di Economia

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

Francesco Ravazzolo

Free University of Bolzano

H. K. van Dijk

Tinbergen Institute; Econometric Institute

Multiple version iconThere are 3 versions of this paper

Date Written: August 22, 2011

Abstract

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by autoregressive (AR) and Markov-Switching AR models, which are commonly used for business cycle analysis. In order to account for parameter uncertainty we consider a Bayesian approach to both estimation and prediction and compare, in terms of statistical accuracy, the individual models and the combined turning point predictions for the United States and Euro area business cycles.

Keywords: turning points, Markov-switching, forecast combination, Bayesian model averaging

JEL Classification: C11, C15, C53, E37

Suggested Citation

Billio, Monica and Casarin, Roberto and Ravazzolo, Francesco and van Dijk, H. K., Combination Schemes for Turning Point Predictions (August 22, 2011). Tinbergen Institute Discussion Paper No. 11-123/4. Available at SSRN: https://ssrn.com/abstract=1914291 or http://dx.doi.org/10.2139/ssrn.1914291

Monica Billio (Contact Author)

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

HOME PAGE: http://www.unive.it/persone/billio

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics ( email )

San Giobbe 873/b
Venice, 30121
Italy
+39 030.298.91.49 (Phone)
+39 030.298.88.37 (Fax)

HOME PAGE: http://venus.unive.it/r.casarin/

Francesco Ravazzolo

Free University of Bolzano ( email )

Bolzano
Italy

Herman K. Van Dijk

Econometric Institute ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 4088955 (Phone)
+31 10 4527746 (Fax)

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Burg. Oudlaan 50
Amsterdam/Rotterdam, 1082 MS
Netherlands
+31104088955 (Phone)
+31104089031 (Fax)

HOME PAGE: http://people.few.eur.nl/hkvandijk/

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