Predictable Recoveries
研究发现美国GDP在衰退后存在可预测的短期复苏，而长期预测变化远小于初始下降，需用多变量模型才能捕捉这一特征。
A random walk with drift is a good univariate representation of US GDP. This paper shows, however, that US economic downturns have been associated with predictable short‐term recoveries and with changes in long‐term GDP forecasts that are substantially smaller than the initial drop. To detect these predictable changes, it is important to use a multivariate time series model. We discuss reasons why univariate representations can miss key characteristics of the underlying variable such as predictability, especially during recessions.