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Forecasting Recessions: Can We Do Better on MARS · Study

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ArticleForecasting Recessions: Can We Do Better on MARS

Peter S. Sephton2001

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Forecasting Recessions: Can We Do Better on MARS

Peter S. Sephton

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Stock Market Forecasting Methods

Abstract

A number of recent articles have examined the ability of financial variables to predict recessions. In this article, Peter Sephton extends the literature by considering a nonlinear, nonparametric approach to predicting the probability of recession using multivariate adaptive regression splines (MARS).

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References

1998Unit-Root Tests and Asymmetric Adjustment With an Example Using the Term Structure of Interest Rates 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators 1998Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates 1995Predicting U.S. Recessions: Financial Variables as Leading Indicators 2007Is the Price Level Tied to the M2 Monetary Aggregate in the Long Run 1994Modelling nonlinear economic relationships 1998Does the term structure predict recessions? The international evidence 1996Predicting Real Growth Using the Yield Curve

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2015Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques 2017Determining Influencing Factors of Currency Exchange Rate for Decision Making in Global Economy Using MARS Method

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Details

Year2001

Typearticle

Published2001-01-01

Languageen

Citations77

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.20955/r.83.39-50

openalex_workW2149669644

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