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Table 4 Out-of-sample estimation results: AUC

From: On business cycle forecasting

Forecast horizon (months)a 1 3 6 9 12
Models AUC
 Model with channels (a), (b), and (c) simultaneouslyb
  AR-Logit-Factor-MIDAS 0.913 (0.000) 0.937 (0.000) 0.953 (0.000) 0.925 (0.000) 0.927 (0.000)
 Models with either channel (a) or (b)
  ST-Probit-MCF 0.930 (0.000) 0.929 (0.000) 0.933 (0.000) 0.926 (0.000) 0.933 (0.000)
  AR-Probit-YS 0.877 (0.000) 0.880 (0.000) 0.889 (0.000) 0.901 (0.000) 0.906 (0.000)
 Models without any channel (a), (b) and (c)
  ST-Probit-YS-EI 0.910 (0.000) 0.893 (0.000) 0.889 (0.000) 0.901 (0.000) 0.897 (0.000)
  ST-Probit-YS 0.857 (0.000) 0.842 (0.000) 0.876 (0.000) 0.864 (0.000) 0.866 (0.000)
  1. a For each forecast horizon N (where N = 1, 3, 6, 9, 12), we evaluate the ability of each model to forecast the probability of a recession within the next N months
  2. bChannel (a): using a flexible function form by including a lagged recession probability into a dynamic Logit or Probit model of recession forecasting; Channel (b): employing a dynamic factor model to extract common factors from many monthly or weekly economic and financial variables; Channel (c): applying MIDAS to incorporate the mixed-frequency common factors in the dynamic Logit framework
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