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• W2004111427 abstract "The purpose of this paper is to provide a complete evaluation of four regime-switching models by checking their performance in detecting US business cycle turning points, in replicating US business cycle features and in forecasting US GDP growth rate. Both individual and combined forecasts are considered. Results indicate that while the Markov-switching model succeeded in replicating all the NBER peak and trough dates without an extra-cycle detection, it seems to be outperformed by the Bounce-back model in term of the delay time to a correct alarm. Concerning business cycle features characterization, none of the competing models dominates over all the features. The performance of the Markov-switching and bounce back models in detecting turning points was not translated into an improved business cycle feature characterization since they are outperformed by the Floor and Ceiling model. The forecast performance of the considered models varies across regimes and across forecast horizons. That is, the model performing best in an expansion period is not necessarily the same in a recession period and similarly for the forecast horizons. Finally, combining such individual forecasts generally leads to increased forecast accuracy especially for h=1." @default.
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• W2004111427 date "2012-11-05" @default.
• W2004111427 modified "2023-09-24" @default.
• W2004111427 title "A Nonlinear Approach for Modeling and Forecasting US Business Cycles" @default.
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• W2004111427 doi "https://doi.org/10.1080/10168737.2010.547945" @default.
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