Giovanis, Eleftherios Application of Stationary Wavelet Support Vector Machines for the Prediction of Economic Recessions. International Journal of Mathematical Models and Methods in Applied Sciences, 7 (3). pp. 226-237. ISSN 1998-0140 (2013)
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Abstract
This paper examines the efficiency of various approaches on the classification and prediction of economic expansion and recession periods in United Kingdom. Four approaches are applied. The first is discrete choice models using Logit and Probit regressions, while the second approach is a Markov Switching Regime (MSR) Model with Time-Varying Transition Probabilities. The third approach refers on Support Vector Machines (SVM), while the fourth approach proposed in this study is a Stationary Wavelet SVM modelling. The findings show that SW-SVM and MSR present the best forecasting performance, in the out-of sample period. In addition, the forecasts for period 2012-2015 are provided using all approaches.
| Item Type: | Article |
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| Uncontrolled Keywords: | Discrete choice models, Stationary Wavelets Transform, Economic crisis, Markov Switching Regime, Support Vector Machines |
| Subjects: | D History General and Old World > DA Great Britain H Social Sciences > HB Economic Theory |
| Research Area: | Economics and Institutional Change |
| Depositing User: | Ms T. Iannizzi |
| Date Deposited: | 10 Jul 2013 13:03 |
| Last Modified: | 10 Jul 2013 13:03 |
| URI: | http://eprints.imtlucca.it/id/eprint/1645 |
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