Recession forecasting II- Hussman's Accuracy

1. Compare 1 month.R

#Actual Recessions
getSymbols('USREC',src='FRED') 
USREC <- USREC["1997-07-01::",] #Start from same period

#Compare recession now to warning last month
library(caret)
OneMonth <- Lag(P.Rec)
compare <- na.omit(merge(OneMonth,USREC))
confusionMatrix(compare[,1],compare[,2],positive = '1')

2. Compare 6 months.R

#Compare recession now to warning in last 6 months
SixMonth <- sign(apply.daily(Lag(P.Rec,1:6), sum))
compare <- na.omit(merge(SixMonth,USREC))
confusionMatrix(compare[,1],compare[,2],positive = '1')

3. Naive.R

#Compare recession now to Recession last month
library(caret)
OneMonth <- Lag(USREC)
compare <- na.omit(merge(OneMonth,USREC))
confusionMatrix(compare[,1],compare[,2],positive = '1')