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Predicting Turning Points: Technical Paper 2000-3

Author

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  • Dan Chin
  • John Geweke
  • Preston Miller

Abstract

In this paper, we seek to develop a reliable method to predict turning points in observed economic variables. Our method is designed so that it can be used day to day with the information that is available at the time. We illustrate our method with respect to a particular variable: the civilian unemployment rate (UR). Our method applies as well to numerous other economic variables.

Suggested Citation

  • Dan Chin & John Geweke & Preston Miller, 2000. "Predicting Turning Points: Technical Paper 2000-3," Working Papers 13337, Congressional Budget Office.
    • Handle: RePEc:cbo:wpaper:13337
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    File URL: https://www.cbo.gov/sites/default/files/106th-congress-1999-2000/workingpaper/20003_0.pdf
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    References listed on IDEAS

    as
    1. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Western Economic Association International, vol. 31(2), pages 224-236, April.
    2. Miller, Preston J & Roberds, William T, 1991. "The Quantitative Significance of the Lucas Critique: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 389-389, October.
    3. Miller, Preston J & Roberds, William T, 1991. "The Quantitative Significance of the Lucas Critique," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 361-387, October.
    4. Pesaran, M. Hashem & Potter, Simon M., 1997. "A floor and ceiling model of US output," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 661-695, May.
    5. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
    6. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-328, April.
    7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    8. Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February.
    9. Stephen K. McNees, 1992. "How large are economic forecast errors?," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 25-42.
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    Cited by:

    1. Peláez, Rolando F., 2015. "Market-timing the business cycle," Review of Financial Economics, Elsevier, vol. 26(C), pages 55-64.
    2. Di Guilmi, Corrado & Gaffeo, Edoardo & Gallegati, Mauro, 2004. "Empirical results on the size distribution of business cycle phases," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 325-334.

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