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Record W2740008170 · doi:10.1515/snde-2015-0037

Dating US business cycles with macro factors

2016· article· en· W2740008170 on OpenAlex
Sebastian Fossati

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueStudies in Nonlinear Dynamics and Econometrics · 2016
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicMonetary Policy and Economic Impact
Canadian institutionsUniversity of Alberta
Fundersnot available
KeywordsEconometricsProbit modelMacroAutoregressive modelRecessionFactor analysisProbitMarkov chainStatisticsDynamic factorFalse positives and false negativesEconomicsSample (material)False positive paradoxMathematicsComputer science

Abstract

fetched live from OpenAlex

Abstract Latent factors estimated from panels of macroeconomic indicators are used to generate recession probabilities for the US economy. The focus is on current (rather than future) business conditions. Two macro factors are considered: (1) a dynamic factor estimated by maximum likelihood from a set of 4 monthly series; (2) the first of eight static factors estimated by principal components using a panel of 102 monthly series. Recession probabilities generated using standard probit, autoregressive probit, and Markov-switching models exhibit very different properties. Overall, a simple Markov-switching model based on the big data macro factor generates the sequence of out-of-sample class predictions that better approximates NBER recession months. Nevertheless, it is shown that the selection of the best performing model depends on the forecaster’s relative tolerance for false positives and false negatives.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.001
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Observational · Consensus signal: Observational
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.083
Threshold uncertainty score0.962

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0010.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0010.001
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.149
GPT teacher head0.265
Teacher spread0.117 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it