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| Author: | Kling, J. L. |
| Title: | Predicting the turning points of business and economic time series. |
| Journal: | Journal of Business
1987 : APR, VOL. 60:2, p. 201-238 |
| Index terms: | FORECASTING TIME SERIES STOCHASTIC PROCESSES |
| Language: | eng |
| Abstract: | Wecker's analysis is extended in a straightforward way to include explanatory variables and to incorporate the uncertainty in coefficient estimates. The procedure is applied to predicting turning points over the period December 1972 - December 1983 for two types of vector autoregressive models and for unrestricted univariate autoregressive models. An alternative assumption regarding the error distribution is explored, and probability assessments for some interesting time periods are presented. The turning-point predictor and test procedures are described. |
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SCIMA