Using Smooth Transition Regression (STR) to predict Business Cycles

Subject Areas :

Harmony Shahmoradi ¹ , Hamid Abrishami ² , Oranus Parivar ³

1 - کارشناس ارشد علوم اقتصادی دانشگاه آزاد اسلامی واحد تهران جنوب
2 - استاد دانشکده اقتصاد دانشگاه تهران
3 - استادیار دانشکده حقوق علوم اقتصادی و سیاسی دانشگاه آزاد اسلامی واحد تهران جنوب

Received: 2015-11-02 Accepted : 2015-11-02 Published : 2012-12-21

Keywords: forecasting, non-linear models, business cycles, smooth transition regression,

Abstract :

Forecasting business cycles is very important in macroeconomic and it is an important part in process of economic decision-making and policy. In recent years, non-linear models have been considered more for forecasting economic variables and application of these models has been made a significant improvement in modeling of the behavior of variables in the area of macroeconomic and particularly financial economics. This article provides a convenient and powerful model for forecasting business cycles by using smooth transition regression (STR). The results show that very little error that indicates model performance is acceptable.