Journal Article

Signaling NBER Turning Points: A Sequential Approach

Journal of Applied Statistics

The dates of U.S. business cycle are reported by NBER with a considerable delay, so

an early notion of turning points is of particular interest. This paper proposes a novel

sequential approach designed for timely signaling these turning points using the time series

of coincident economic indicators. The approach exhibits a range of theoretical optimality

properties for early signaling, moreover, it is transparent and easy to implement. The

empirical study evaluates the signaling ability of the proposed methodology.

Authors

Vasyl Golosnoy

Info

Publication Date
JEL Classification
C44, C50, E32