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Testing an autoregressive structure in binary time series models. (2010). Nyberg, Henri.
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-10-00253.

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  1. Bernard, H and S. Gerlach (1998) Does the term structure predict recessions? The international evidence International Journal of Finance and Economics 3, 195-215.

  2. Chauvet, M and S. Potter (2005) Forecasting recession using the yield curve Journal of Forecasting 24, 77-103.

  3. Cox, D.R. (1981) Statistical analysis of time series: Some recent developments. Scandinavian Journal of Statistics 8, 93-i 15.
    Paper not yet in RePEc: Add citation now

  4. Davidson, R and J.G. MacKinnon (1984) Convenient specification tests for logit and probit models Journal of Econometrics 25, 241-262.

  5. Estrella, A. (1998) A new measure of fit for equations with dichotomous dependent variables Journal of Business and Economic Statistics 16, 198-205.

  6. Kauppi, H. (2008) Yield-curve based probit models for forecasting U.S. recessions: Stability and dynamics HECER Discussion Paper number 22i. Helsinki Center of Economic Research.

  7. Leung, M.T, Daouk, H and A.S. Chen (2000) Forecasting stock indices: A comparison of classification and level estimation models International Journal of Forecasting 16, i73-i90.

  8. Marcellino, M, Stock J.H and M.W. Watson (2006) A comparison of direct and iterated AR methods for forecasting macroeconomic time series Journal of Econometrics 135, 499-526. Nyberg, H. (2OiOa) Dynamic probit models and financial variables in recession forecasting Journal of Forecasting 29, 2i5-230. Nyberg, H. (20 lOb) Forecasting the direction of the U.S. stock market with dynamic binary probit models International Journal of Forecasting, forthcoming.

  9. Rydberg, T and N. Shephard (2003) Dynamics of trade-by-trade price movements: Decomposition and models Journal of Financial Econometrics 1, 2-25.

  10. Startz, R. (2008) Binomial autoregressive moving average models with an application to U.S. Recessions Journal of Business and Economic Statistics 26, i-8.

Cocites

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  2. The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan. (2013). Nakaota, Hiroshi ; Fukuta, Yuichi .
    In: Discussion Papers in Economics and Business.
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  4. On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case. (2013). Kaya, Huseyin.
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  5. Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland. (2011). Zanetti, Attilio ; Ranaldo, Angelo ; Meichle, Mario.
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  7. Forecasting the direction of the US stock market with dynamic binary probit models. (2011). Nyberg, Henri.
    In: International Journal of Forecasting.
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  8. Empirical modeling of Japans markup and inflation, 1976-2000. (2010). Kurita, Takamitsu.
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  9. Testing an autoregressive structure in binary time series models. (2010). Nyberg, Henri.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-10-00253.

    Full description at Econpapers || Download paper

  10. Composite Leading Indicators for Ukraine: An Early Warning Model. (2009). Golodniuk, Inna ; Dubrovskiy, Vladimir ; Szyrmer, Janusz .
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  11. Forecasting New Zealands economic growth using yield curve information. (2009). Thorsrud, Leif ; Krippner, Leo.
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  12. Can the term spread predict output growth and recessions? a survey of the literature. (2009). Wohar, Mark ; Wheelock, David.
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  13. Forecasting Euro-area recessions using time-varying binary response models for financial.. (2009). Ferrara, Laurent ; Bellego, C..
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  14. Changes in the informational content of term spreads: Is monetary policy becoming less effective?. (2008). Gómez Biscarri, Javier ; Gomez-Biscarri, Javier .
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  17. A comparison of methods for the construction of composite coincident and leading indexes for the UK. (2007). Marcellino, Massimiliano ; Carriero, Andrea.
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  18. What does the yield curve tell us about GDP growth?. (2006). Wei, Min ; Piazzesi, Monika ; Ang, Andrew.
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