Journal Article
Signaling NBER Turning Points: A Sequential Approach
The dates of U.S. business cycle are reported by NBER with a considerable delay, so
an early notion of turning points is of particular interest. This paper proposes a novel
sequential approach designed for timely signaling these turning points using the time series
of coincident economic indicators. The approach exhibits a range of theoretical optimality
properties for early signaling, moreover, it is transparent and easy to implement. The
empirical study evaluates the signaling ability of the proposed methodology.
Key Words
- CUSUM
- Early signals
- monitoring
- multivariate control charts
- NBER business cycle
- sequential