Regime-Dependent Recession Forecasts and the 2001 Recession (ICPSR 1272)

Version Date: Apr 18, 2003

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Principal Investigator(s):
Michael J. Dueker, Federal Reserve Bank of St. Louis

https://doi.org/10.3886/ICPSR01272.v1

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Summary

Business recessions are notoriously hard to predict accurately, hence the quip that economists have predicted eight of the last five recessions. This article derives a six-month-ahead recession signal that reduces the number of false signals outside of recession, without impairing the ability to signal the recessions that occur. In terms of predicting the 1990-1991 and 2001 recessions out of sample, the new recession signal, like other signals, largely misses the 1990-1991 recession with its six-month-ahead forecasts. In contrast, a recession onset in April or May 2001 was predicted six months ahead of the 2001 recession, which is close to the actual turning point of March 2001.

Citation

Dueker, Michael J. Regime-Dependent Recession Forecasts and the 2001 Recession. Inter-university Consortium for Political and Social Research [distributor], 2003-04-18. https://doi.org/10.3886/ICPSR01272.v1

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Distributor(s)

Inter-university Consortium for Political and Social Research
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Data Collection Notes

  1. (1) The files submitted are the program file, 0211mdp.txt, and the data file, 0211mdd.txt. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

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Original Release Date

2003-04-18

Version History

2018-02-15 The citation of this study may have changed due to the new version control system that has been implemented. The previous citation was:
  • Dueker, Michael J. Regime-Dependent Recession Forecasts and the 2001 Recession. ICPSR01272-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2003-04-18. http://doi.org/10.3886/ICPSR01272.v1
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Notes

  • These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

  • The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.