relation: http://eprints.imtlucca.it/1641/
title: Study of Discrete Choice Models and Adaptive Neuro-Fuzzy Inference System in the Prediction of Economic Crisis Periods in USA
creator: Giovanis, Eleftherios
subject: E151 United States (General)
subject: HA Statistics
subject: HG Finance
description: In this study two approaches are applied for the prediction of the economic recession or expansion periods in USA. The first approach includes Logit and Probit models and  the second is an Adaptive Neuro-Fuzzy Inference System (ANFIS) with Gaussian and Generalized Bell membership functions. The in-sample period 1950-2006 is examined  and the forecasting performance of the two approaches is evaluated during the out-of sample period 2007-2010. The estimation results show that the ANFIS model outperforms  the Logit and Probit model. This indicates that neuro-fuzzy model provides a better and more reliable signal on whether or not a financial crisis will take place.
publisher: Economic Society of Australia
date: 2012
type: Article
type: PeerReviewed
format: application/pdf
language: en
identifier: http://eprints.imtlucca.it/1641/1/Economic%20Analysis%20and%20Policy%20%28EAP%29_Giovani_2012.pdf
identifier:   Giovanis, Eleftherios  Study of Discrete Choice Models and Adaptive Neuro-Fuzzy Inference System in the Prediction of Economic Crisis Periods in USA.  Economic Analysis and Policy, 42 (1).  pp. 79-96.  ISSN 0313-5926      (2012)  
relation: http://www.eap-journal.com/journal_archive_by_volume.php#42