Recession probabilities

Jeremy Piger computes recession probabilities for US in real time:

recession probabilities for the United States obtained from a dynamic-factor markov-switching model applied to four monthly coincident variables: non-farm payroll employment, the index of industrial production, real personal income excluding transfer payments, and real manufacturing and trade sales.  For additional details, including an analysis of the performance of this model for dating business cycles in real time, see:

 Chauvet, M. and J. Piger, “A Comparison of the Real-Time Performance of Business Cycle Dating Methods,” Journal of Business and Economic Statistics, 2008, 26, 42-49.