Abstract
A two-step procedure to produce a statistical measure of the probability of being in an accelerating or decelerating phase of economic activity is proposed. It consists of, first, an extraction of the individual linear innovations of a set of relevant macroeconomic variables whose signs are accumulated into a qualitative vector process and, second, of a factor analysis applied to this vector. The factor process is a two-state Markov process of order one whose states are described as favourable and unfavourable. Estimated on French business surveys, this measure appears to be a competitive coincident indicator. Copyright © 2000 John Wiley & Sons, Ltd.
Reference
Stéphane Gregoir, and Fabrice Lenglart, “Measuring the Probability of a Business Cycle Turning Point by using a Multivariate Qualitative Hidden Markov Model”, International Journal of Forecasting, vol. 19, n. 2, March 2000, pp. 81–102.
Published in
International Journal of Forecasting, vol. 19, n. 2, March 2000, pp. 81–102