Dating NBER Recessions with Philadelphia Fed U.S. Coincident Economic Indices (Harmonized GDP Approach)
3 Pages Posted: 9 Nov 2011 Last revised: 10 Nov 2011
Date Written: November 9, 2011
We extend the work done in our “Redux” paper from Oct 2011 to find a weighted composite U.S coincident economic index (CEI) that includes non-zero weightings from all 50 states and when used in a standard Probit model, produces a perfect correlation (R2 of 1) to NBER recession dating. We “harmonize” the CEI to the monthly US GDP output so that we have an economic output model that approximates US GDP output, is always rising in NBER expansions and is always falling in NBER recessions.
Keywords: recession dating, GDP forecasting
JEL Classification: C00, C32, C52, E32
Suggested Citation: Suggested Citation