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

Abstract

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

van Vuuren, Dwaine, Dating NBER Recessions with Philadelphia Fed U.S. Coincident Economic Indices (Harmonized GDP Approach) (November 9, 2011). Available at SSRN: https://ssrn.com/abstract=1957158 or http://dx.doi.org/10.2139/ssrn.1957158

Dwaine Van Vuuren (Contact Author)

PowerStocks Equity Research ( email )

Cape Town, Western Cape 7806
South Africa
+27217940194 (Phone)

HOME PAGE: http://www.powerstocks.co.za

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