eprintid: 1641
rev_number: 9
eprint_status: archive
userid: 6
dir: disk0/00/00/16/41
datestamp: 2013-07-10 10:59:17
lastmod: 2013-07-10 10:59:17
status_changed: 2013-07-10 10:59:17
type: article
metadata_visibility: show
creators_name: Giovanis, Eleftherios
creators_id: eleftherios.giovanis@imtlucca.it
title: Study of Discrete Choice Models and Adaptive Neuro-Fuzzy Inference System in the Prediction of Economic Crisis Periods in USA
ispublished: pub
subjects: E151
subjects: HA
subjects: HG
divisions: EIC
full_text_status: public
abstract: 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.
date: 2012
date_type: published
publication: Economic Analysis and Policy
volume: 42
number: 1
publisher: Economic Society of Australia
pagerange: 79-96
refereed: TRUE
issn: 0313-5926
official_url: http://www.eap-journal.com/journal_archive_by_volume.php#42
citation:   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)  
document_url: http://eprints.imtlucca.it/1641/1/Economic%20Analysis%20and%20Policy%20%28EAP%29_Giovani_2012.pdf