?

1.

1. Hamiliton(1989) Hussey(1992)Beaudry and Koop(1993) Pedersen and Elmer(2003) Henry et al.(2004)Ocal(2006)()

1. (no parametric) (parametric)

1. (parametric) (Markov Switching)(Threshold)

1. () () ()

1. Henry et al.(2004)CDR (current depth of recession)(Switch)

1. Beaudry and Koop (1993)CDR (current depth of recession) Yi,tt CDR t s CDR=0()CDR>0

2.CDRCDRCDRCDRCDR

2. CDR (modified CDRmCDR)

2.CDRCDR mCDR

2.CDRCDR3 Yi,t t CDR3 t s

2.CDRCDR3

CDR CDR32.

CDR3CDRCDR3CDRCDR3CDR3CDR()2.

CDR3()CDR3CDR3CDR3CDR(modified CDRmCDR)2.

CDRmCDR(CDRmCDR)TARmCDRCDR2.

2. G7TAR (Threshold Autoregressive )4(2002~2005)16

2.CDRTAR

mCDRTAR

2.(RMSE)(Theils Inequality Coefficient)

2. DM(Diebold and Mariano,1995)Chung(2006)(bootstraps method)MD

3.TARCDRTARCDRTARTARCDR=0

3. (Rolling Forecasting)

3. RMSE 12 34mCDR 3

3. RMSE

3. DM 1(90%) 3(90%) 4 (95%) mCDRTAR TAR()TAR

4. TARTAR11mCDRCDR

4. (12)(34)mCDRCDR

4. mCDRmCDR CDR (1) (2) (3) (4)

TVAR() mCDR

2.mCDR()mCDR

2. CDRCDRBradley and Jansen(1997)CDRCDR(New CDRNCDR)