Prediction of the start of next recession using latent factors

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

doi:10.1063/1.4966103

Prediction of the start of next recession using latent factors

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

School of Mathematical & Computer Sciences

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English
Title of host publication	4th International Conference on Quantitative Sciences and Its Applications (ICOQSIA 2016)
Publisher	AIP Publishing
ISBN (Electronic)	9780735414440
DOIs	https://doi.org/10.1063/1.4966103
Publication status	Published - 25 Oct 2016
Event	4th International Conference on Quantitative Sciences and Its Applications - Bangi, Selangor, Malaysia Duration: 16 Aug 2016 → 18 Aug 2016

Publication series

Name	AIP Conference Proceedings
Publisher	AIP Publishing
Number	1
Volume	1782
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Conference

Conference	4th International Conference on Quantitative Sciences and Its Applications
Abbreviated title	ICOQSIA 2016
Country/Territory	Malaysia
City	Bangi, Selangor
Period	16/08/16 → 18/08/16

ASJC Scopus subject areas

General Physics and Astronomy

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10.1063/1.4966103

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This article may be downloaded for personal use only. Any other use requires prior permission of the author and AIP Publishing. The following article appeared in AIP Conference Proceedings 1782, 050013 (2016) and may be found at https://doi.org/10.1063/1.4966103
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Cite this

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title = "Prediction of the start of next recession using latent factors",

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.",

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Pooi, AH, Soo, HC & 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, no. 1, vol. 1782, AIP Publishing, 4th International Conference on Quantitative Sciences and Its Applications, Bangi, Selangor, Malaysia, 16/08/16. https://doi.org/10.1063/1.4966103

Prediction of the start of next recession using latent factors. / Pooi, Ah Hin; Soo, Huei Ching; Pan, Wei-Yeing.
4th International Conference on Quantitative Sciences and Its Applications (ICOQSIA 2016). AIP Publishing, 2016. 050013 ( AIP Conference Proceedings; Vol. 1782, No. 1).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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Prediction of the start of next recession using latent factors

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