A Note on the Probability of Recessions: Can Statistics Cananada's Leading Index Predict as Well as MARS

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dc.contributor.authorSephton, Peter, S.
dc.date.accessioned2023-03-01T16:01:42Z
dc.date.available2023-03-01T16:01:42Z
dc.description.abstractIn this note we estimate the probability of recession using the revised leading index published by Statistics Canada. The results are compared to probabilities derived from a new non-parametric regression routine. While the indexes provide similar information on the probability that the economy is currently in recession, the non-parametric approach appears to offer more reliable information. Two out-of-sample forecasting exercises demonstrate the potential benefits to the use of the multivariate adaptive regression spline model.
dc.identifier.urihttps://unbscholar.lib.unb.ca/handle/1882/13110
dc.language.isoEnglish
dc.rightshttp://purl.org/coar/access_right/c_abf2
dc.subject.disciplineEconomics
dc.titleA Note on the Probability of Recessions: Can Statistics Cananada's Leading Index Predict as Well as MARS
dc.typeworking paper

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