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Predicting Turning Points

Staff Report 267 | Published June 1, 2000

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Authors

Daniel M. Chin

John F. Geweke

Preston J. Miller Former Vice President and Monetary Adviser

Predicting Turning Points

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.