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Predicting Recessions with Factor Linear Dynamic Harmonic Regressions

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  • Marcos Bujosa
  • Antonio García‐Ferrer
  • Aránzazu Juan

Abstract

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  • Marcos Bujosa & Antonio García‐Ferrer & Aránzazu Juan, 2013. "Predicting Recessions with Factor Linear Dynamic Harmonic Regressions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 481-499, September.
    • Handle: RePEc:wly:jforec:v:32:y:2013:i:6:p:481-499
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    Cited by:

    1. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    2. Marcos Bujosa & Antonio García‐Ferrer & Aránzazu de Juan & Antonio Martín‐Arroyo, 2020. "Evaluating early warning and coincident indicators of business cycles using smooth trends," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(1), pages 1-17, January.
    3. Abberger, Klaus & Graff, Michael & Siliverstovs, Boriss & Sturm, Jan-Egbert, 2018. "Using rule-based updating procedures to improve the performance of composite indicators," Economic Modelling, Elsevier, vol. 68(C), pages 127-144.
    4. Andrés Bujosa Brun & Marcos Bujosa Brun & Antonio García-Ferrer, 2013. "Mathematical framework for pseudo-spectra of linear stochastic difference equations," Documentos de Trabajo del ICAE 2013-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised May 2015.

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