The consumer confidence index is a highly observed indicator among short-term analysts and news reporters and it is generally considered to convey some useful information about the short-term evolution of consumer expenditure. Notwithstanding this, its usefulness in forecasting aggregate...

The long and sustained expansion of the nineties has generated, especially in the US, widespread rumours about the “death of the cycle”. Nevertheless, towards the end of the last decade, it became clear that fluctuations of economic activity were far from being extinct. This has contributed...

In this paper we propose a relatively simple procedure to predict Euro-zone industrial production using mostly data derived from the business surveys of the three major economies within the European Monetary Union (France, Germany, and Italy). The basic idea is that of estimating business...

The use of linear parametric models for forecasting economic time series is widespread among practitioners, in spite of the fact that there is a large evidence of the presence of non-linearities in many of such time series. However, the empirical results stemming from the use of non-linear...

n this paper I compare different models, a linear and a non-linear one, for forecasting industrial production by means of some related indicators. I claim that the difficulties associated with the correct identification of a non-linear model could be a possible cause of the often observed worse...

Markov Switching models have been successfully applied to many economic problems. The most popular version of these models implies that the change in the state is driven by a Markov Chain and that the state is an exogenous discrete unobserved variable. This hypothesis seems to be too...