Staff Report 267

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Predicting Turning Points

Daniel M. Chin
John F. Geweke
Preston J. Miller - Former Vice President and Monetary Adviser

Published June 1, 2000

Abstract
This paper presents a new method for predicting turning points. The paper formally defines a turning point; develops a probit model for estimating the probability of a turning point; and then examines both the in-sample and out-of-sample forecasting performance of the model. The model performs better than some other methods for predicting turning points.


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