arXiv 12 Oct 2023 · Econometrics · 1 citations (OpenAlex)
arXiv:2310.08536 · PDF · DOI · OpenAlex · Extracted main text
This paper uses standard and penalized logistic regression models to predict the Great Recession and the Covid-19 recession in the US in real time. It examines the predictability of various macroeconomic and financial indicators with respect to the NBER recession indicator. The findings strongly support the use of penalized logistic regression models in recession forecasting. These models, particularly the ridge logistic regression model, outperform the standard logistic regression model in predicting the Great Recession in the US across different forecast horizons. The study also confirms the traditional significance of the term spread as an important recession indicator. However, it acknowledges that the Covid-19 recession remains unpredictable due to the unprecedented nature of the pandemic. The results are validated by creating a recession indicator through principal component analysis (PCA) on selected variables, which strongly correlates with the NBER recession indicator and is less affected by publication lags.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Vrontos, S., Galakis, J., Vrontos, I (2021) Modeling and predicting u.s. recessions using machine learning techniques | 1.000 | 5 | 4 | 100% |
| 2 | Chauvet, M., Piger, J (2008) A comparison of the real-time performance of business cycle dating methods | 0.843 | 3 | 3 | 100% |
| 3 | Bry, G., Boschan, C (1971) Cyclical analysis of time series: selected procedures and computer programs | 0.644 | 2 | 2 | 100% |
| 4 | Stark, T., Croushore, D (2002) Forecasting with a real-time data set for macroeconomists | 0.644 | 2 | 2 | 100% |
| 5 | Stock, J., Watson, M (1989) New indexes of coincident and leading economic indicators | 0.644 | 2 | 2 | 100% |
| 6 | Manski, C., Lerman, S (1977) The estimation of choice probabilities from choice based samples | 0.511 | 2 | 1 | 100% |
| 7 | Albert, A., Anderson, J (1984) On the existence of maximum likelihood estimates in logistic regression models | 0.405 | 1 | 1 | 100% |
| 8 | Barleby, G (2004) The cost of business cycles under endogenous growth | 0.405 | 1 | 1 | 100% |
| 9 | Barro, R (2006) On the welfare cost of consumption volatility | 0.405 | 1 | 1 | 100% |
| 10 | Berge, T., Jorda, O (2011) Evaluating the classification of economic activity into recessions and expansions | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 40 scored citations.