Prediction of the start of next recession using latent factors

Ah Hin Pooi, Huei Ching Soo, Wei-Yeing Pan

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Abstract

The data on the binary recession variable and the latent factors extracted from a large set of economic variables are fitted with a multivariate power-normal distribution. A conditional distribution for the recession variable is obtained from the fitted multivariate distribution. The results based on the US economic data show that the 2.5% point of the conditional distribution provides a good indicator for the start of the next recession.

Original languageEnglish
Title of host publication4th International Conference on Quantitative Sciences and Its Applications (ICOQSIA 2016)
PublisherAIP Publishing
ISBN (Electronic)9780735414440
DOIs
Publication statusPublished - 25 Oct 2016
Event4th International Conference on Quantitative Sciences and Its Applications - Bangi, Selangor, Malaysia
Duration: 16 Aug 201618 Aug 2016

Publication series

Name AIP Conference Proceedings
PublisherAIP Publishing
Number1
Volume1782
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference4th International Conference on Quantitative Sciences and Its Applications
Abbreviated titleICOQSIA 2016
CountryMalaysia
CityBangi, Selangor
Period16/08/1618/08/16

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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  • Cite this

    Pooi, A. H., Soo, H. C., & Pan, W-Y. (2016). Prediction of the start of next recession using latent factors. In 4th International Conference on Quantitative Sciences and Its Applications (ICOQSIA 2016) [050013] ( AIP Conference Proceedings; Vol. 1782, No. 1). AIP Publishing. https://doi.org/10.1063/1.4966103