We develop a recession forecasting framework using a less restrictive target variable and more flexible and inclusive specification than those used in the literature. The target variable captures the occurrence of a recession within a given future period rather than at a specific future point in time (widely used in the literature). The modeling specification combines an autoregressive Logit model capturing the autocorrelation of business cycles, a dynamic factor model encompassing many economic and financial variables, and a mixed data sampling regression incorporating common factors with mixed sampling frequencies. The model generates significantly more accurate forecasts for U.S. recessions with smaller forecast errors and stronger early signals for the turning points of business cycles than those generated by existing models.

中文翻译：

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商业周期预测

我们使用比文献中使用的限制更少的目标变量和更灵活和更具包容性的规范来开发经济衰退预测框架。目标变量捕捉的是在给定的未来时期内而不是在特定的未来时间点（在文献中广泛使用）内经济衰退的发生。建模规范结合了捕获商业周期自相关的自回归 Logit 模型、包含许多经济和金融变量的动态因子模型，以及包含具有混合采样频率的公共因子的混合数据采样回归。与现有模型相比，该模型对美国经济衰退的预测准确度更高，预测误差更小，商业周期转折点的早期信号更强。