Recession forecasting with high?dimensional data
نویسندگان
چکیده
In this paper, a large amount of different financial and macroeconomic variables are used to predict the U.S. recession periods. We propose new cost-sensitive extension gradient boosting model, which can take into account class imbalance problem binary response variable. The imbalance, caused by scarcity periods in our application, is that emphasized with high-dimensional datasets. Our empirical results show introduced outperforms traditional model both in-sample out-of-sample forecasting. Among set candidate predictors, types interest rate spreads turn out be most important predictors when forecasting
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2021
ISSN: ['0277-6693', '1099-131X']
DOI: https://doi.org/10.1002/for.2823