Combination Schemes for Turning Point Predictions

32 Pages Posted: 7 May 2013

See all articles by Monica Billio

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: April 30, 2013

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, Herman K., Combination Schemes for Turning Point Predictions (April 30, 2013). Norges Bank Working Paper 2012/04. Available at SSRN: https://ssrn.com/abstract=2258447 or http://dx.doi.org/10.2139/ssrn.2258447

Monica Billio

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

Cannaregio 873
Venice, 30121
Italy

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

Roberto Casarin (Contact Author)

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

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/

Econometric Institute ( email )

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

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