#2001-019B "Forecasting Macro Variables with a Qual VAR Business Cycle Turning Point Index"
by Michael J. Dueker, and Katrin Wesche
October 2001
Revised 2005

One criticism of VAR forecasting is that macroeconomic variables tend not to behave as linear functions of their own past around business cycle turning points. ...This article investigates an alternative linear model that adds to the information set a latent index of nearness to a turning point. More...

#1999-019B "European Business Cycles: New Indices and Analysis of their Synchronicity"
by Michael J. Dueker, and Katrin Wesche

Revised October 2001

This article presents a new type of business cycle index that allows for cycle-to-cycle comparisons of the depth of recessions within a country, cross-country comparisons of business cycle correlation and simple aggregation to arrive at a measure of a European business cycle. The paper examines probit-type specifications of binary recession/expansion variables in a Gibbs-sampling framework, wherein it is possible to incorporate time-series features to the model, such as serial correlation, heteroscedasticity and regime switching. More...

PUBLISHED: Economic Inquiry, January 2003, 41(1), pp. 116-31