Prediction of the start of next recession using latent factors
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIP Publishing
2016
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| Online Access: | http://eprints.sunway.edu.my/435/ http://eprints.sunway.edu.my/435/1/Pooi%20Ah%20Hin%206.pdf |
| _version_ | 1848801820644737024 |
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| author | Pooi, Ah Hin * Soo, Huei Ching * Pan, Wei Yeing |
| author_facet | Pooi, Ah Hin * Soo, Huei Ching * Pan, Wei Yeing |
| author_sort | Pooi, Ah Hin * |
| building | SU Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T21:13:32Z |
| format | Article |
| id | sunway-435 |
| institution | Sunway University |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T21:13:32Z |
| publishDate | 2016 |
| publisher | AIP Publishing |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | sunway-4352019-07-03T08:36:56Z http://eprints.sunway.edu.my/435/ Prediction of the start of next recession using latent factors Pooi, Ah Hin * Soo, Huei Ching * Pan, Wei Yeing HA Statistics HB Economic Theory 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. AIP Publishing 2016 Article PeerReviewed text en http://eprints.sunway.edu.my/435/1/Pooi%20Ah%20Hin%206.pdf Pooi, Ah Hin * and Soo, Huei Ching * and Pan, Wei Yeing (2016) Prediction of the start of next recession using latent factors. AIP Conference Proceedings, 1782 (050013). 050013-1. ISSN 1551 7616 http://www.aip.scitation.org http://dx.doi.org/10.1063/1.4966103 |
| spellingShingle | HA Statistics HB Economic Theory Pooi, Ah Hin * Soo, Huei Ching * Pan, Wei Yeing Prediction of the start of next recession using latent factors |
| title | Prediction of the start of next recession using latent factors |
| title_full | Prediction of the start of next recession using latent factors |
| title_fullStr | Prediction of the start of next recession using latent factors |
| title_full_unstemmed | Prediction of the start of next recession using latent factors |
| title_short | Prediction of the start of next recession using latent factors |
| title_sort | prediction of the start of next recession using latent factors |
| topic | HA Statistics HB Economic Theory |
| url | http://eprints.sunway.edu.my/435/ http://eprints.sunway.edu.my/435/ http://eprints.sunway.edu.my/435/ http://eprints.sunway.edu.my/435/1/Pooi%20Ah%20Hin%206.pdf |