Accessible Version

There is No Single Best Predictor of Recessions Accessible Data

Figure 1a: AUROC Sample 1954 - 2018

AUROC of all spreads

Months TenFive TenThree TenOne TenThreeMon TenRFF FiveThree FiveOne FiveThreeMon FiveRFF ThreeOne ThreeThreeMon ThreeRFF OneThreeMon OneRFF ThreeMonRFF
1 0.738478 0.7606 0.810374 0.822859 0.874057 0.769231 0.828892 0.826378 0.875482 0.848835 0.806268 0.86417 0.618736 0.823194 0.825708
2 0.75838 0.77714 0.822443 0.833801 0.878339 0.778161 0.834822 0.831079 0.875149 0.852816 0.807853 0.859877 0.631615 0.821508 0.823677
3 0.776309 0.79621 0.838402 0.850585 0.881775 0.797304 0.849317 0.840965 0.872502 0.863545 0.81493 0.852255 0.626577 0.799464 0.799781
4 0.80255 0.822582 0.857206 0.86291 0.887529 0.825193 0.86607 0.846564 0.874495 0.874188 0.811809 0.848495 0.592373 0.789846 0.787476
5 0.823203 0.84489 0.875352 0.879008 0.89374 0.849206 0.882789 0.862279 0.878259 0.887248 0.825629 0.848297 0.579383 0.784056 0.772838
6 0.830826 0.856444 0.88833 0.892952 0.900686 0.865114 0.894946 0.876412 0.884765 0.896728 0.838575 0.853982 0.594662 0.786675 0.763081
7 0.84027 0.866488 0.89751 0.899774 0.908539 0.876978 0.903985 0.883453 0.892337 0.904407 0.844258 0.86167 0.594962 0.792164 0.763537
8 0.850747 0.878267 0.908001 0.90813 0.914582 0.888338 0.913212 0.891313 0.896349 0.912111 0.851988 0.864285 0.603265 0.793704 0.760118
9 0.861159 0.889164 0.916164 0.914597 0.919742 0.897931 0.919203 0.895792 0.899255 0.9161 0.854234 0.865659 0.603827 0.793586 0.762605
10 0.871049 0.898759 0.921146 0.915144 0.923609 0.905934 0.920971 0.892224 0.901008 0.91432 0.845666 0.866221 0.586736 0.791342 0.766531
11 0.880717 0.90692 0.923516 0.912706 0.922834 0.910356 0.919811 0.88496 0.897555 0.909208 0.834275 0.859824 0.571963 0.777509 0.765667
12 0.883623 0.908337 0.923448 0.90899 0.917638 0.909392 0.918006 0.878382 0.890145 0.905683 0.825581 0.850328 0.561207 0.758489 0.759393
13 0.887115 0.911178 0.923777 0.910014 0.91644 0.911606 0.916479 0.877504 0.886568 0.902122 0.823205 0.844241 0.559236 0.74336 0.750222
14 0.88972 0.913355 0.924412 0.909022 0.915292 0.913092 0.916506 0.875437 0.884097 0.900241 0.818677 0.839803 0.448937 0.733939 0.748515
15 0.889698 0.913585 0.924221 0.906837 0.912504 0.913916 0.916429 0.872789 0.880336 0.899463 0.813213 0.834378 0.457599 0.724558 0.74537
16 0.892077 0.91383 0.924413 0.90409 0.910977 0.913049 0.915391 0.868534 0.877853 0.89723 0.80724 0.830886 0.465771 0.71888 0.744778
17 0.896274 0.915953 0.924691 0.902552 0.910333 0.912993 0.914423 0.864985 0.876197 0.894605 0.802478 0.827776 0.471357 0.713975 0.742638
18 0.898303 0.916442 0.923809 0.898637 0.908175 0.911965 0.912466 0.85891 0.873067 0.891225 0.794332 0.823577 0.479619 0.708481 0.743686
19 0.898432 0.916314 0.922368 0.89399 0.904405 0.911747 0.910577 0.852619 0.868212 0.88755 0.785472 0.817702 0.489279 0.701848 0.74394
20 0.900546 0.916375 0.920629 0.889112 0.899712 0.910675 0.90746 0.845157 0.861698 0.883225 0.775558 0.809644 0.498278 0.689908 0.740747
21 0.89711 0.912994 0.916749 0.883404 0.894492 0.908116 0.903178 0.838212 0.856003 0.877807 0.76682 0.802595 0.505067 0.68022 0.735217
22 0.89152 0.907587 0.909839 0.875218 0.885747 0.903371 0.895742 0.828771 0.846451 0.868216 0.755727 0.791456 0.511948 0.666445 0.72561
23 0.885788 0.901971 0.903578 0.868971 0.879096 0.898341 0.88939 0.821895 0.839404 0.860082 0.748146 0.783191 0.514373 0.657365 0.717539
24 0.880524 0.896464 0.899075 0.864408 0.873177 0.893446 0.884887 0.816507 0.832777 0.855023 0.742476 0.775501 0.517603 0.646844 0.708912

Legend entries ordered vertically by AUROC at horizon of 24 months.

Dashed lines indicate 95 percent confidence interval.

Source: Author's calculation.

Return to text

Figure 1b: AUROC Sample 1954 - 2018

AUROC of best spreads

Months BestName value confidenceintervalhigh confidenceintervallow
1 FiveRFF 0.875482 0.968836 0.782127
2 TenRFF 0.878339 0.936164 0.820515
3 TenRFF 0.881775 0.930002 0.833549
4 TenRFF 0.887529 0.929363 0.845694
5 TenRFF 0.89374 0.930395 0.857085
6 TenRFF 0.900686 0.933039 0.868333
7 TenRFF 0.908539 0.937383 0.879696
8 TenRFF 0.914582 0.941312 0.887852
9 TenRFF 0.919742 0.944655 0.89483
10 TenRFF 0.923609 0.946913 0.900304
11 TenOne 0.923516 0.944948 0.902083
12 TenOne 0.923448 0.944909 0.901987
13 TenOne 0.923777 0.945065 0.902488
14 TenOne 0.924412 0.945374 0.903451
15 TenOne 0.924221 0.945052 0.90339
16 TenOne 0.924413 0.945176 0.90365
17 TenOne 0.924691 0.945259 0.904124
18 TenOne 0.923809 0.944328 0.903291
19 TenOne 0.922368 0.943056 0.90168
20 TenOne 0.920629 0.941335 0.899923
21 TenOne 0.916749 0.937913 0.895585
22 TenOne 0.909839 0.932245 0.887433
23 TenOne 0.903578 0.926917 0.880239
24 TenOne 0.899075 0.92284 0.875309

Legend entries ordered vertically by AUROC at horizon of 24 months.

Dashed lines indicate 95 percent confidence interval.

Source: Author's calculation.

Return to text

Figure 2a: AUROC Sample 1984 - 2018

AUROC of all spreads

Months TenFive TenThree TenOne TenThreeMon TenRFF FiveThree FiveOne FiveThreeMon FiveRFF ThreeOne ThreeThreeMon ThreeRFF OneThreeMon OneRFF ThreeMonRFF TenTwo FiveTwo ThreeTwo TwoThreeMon TwoRFF
1 0.584642 0.600785 0.729494 0.807592 0.874346 0.623037 0.794503 0.851658 0.910995 0.831152 0.862565 0.931065 0.748255 0.944154 0.891361 0.652269 0.686736 0.771379 0.84555 0.938918
2 0.636243 0.645944 0.765212 0.828924 0.88448 0.65366 0.815476 0.8653 0.916667 0.847222 0.867063 0.93254 0.742945 0.94224 0.880291 0.689153 0.715829 0.799824 0.843915 0.938051
3 0.664884 0.675728 0.785948 0.842097 0.889335 0.685532 0.827837 0.861111 0.909239 0.849228 0.852496 0.912805 0.716726 0.901812 0.867796 0.714052 0.742424 0.817142 0.822935 0.904932
4 0.703153 0.718356 0.814302 0.854054 0.896734 0.735135 0.848086 0.861824 0.912275 0.855968 0.841554 0.904955 0.697185 0.881306 0.864865 0.751351 0.779505 0.832545 0.80991 0.889977
5 0.737978 0.755373 0.839071 0.869945 0.902459 0.773224 0.866485 0.874044 0.915118 0.86776 0.848634 0.902641 0.695264 0.872587 0.841348 0.783515 0.809927 0.852732 0.813934 0.882787
6 0.766651 0.781998 0.855893 0.883824 0.907996 0.795657 0.878223 0.885589 0.91705 0.875767 0.857888 0.90531 0.709101 0.878837 0.824355 0.807397 0.828346 0.866022 0.821746 0.887354
7 0.790104 0.8054 0.86825 0.892924 0.914937 0.817372 0.886605 0.893589 0.920857 0.881418 0.861798 0.90955 0.703312 0.887271 0.824754 0.826616 0.84464 0.873105 0.822825 0.893323
8 0.808675 0.82686 0.88371 0.907309 0.925789 0.838748 0.900012 0.907486 0.928849 0.892361 0.878178 0.918197 0.725341 0.897481 0.82274 0.846751 0.863818 0.889301 0.84169 0.902895
9 0.823016 0.842593 0.895185 0.919418 0.935026 0.853757 0.908571 0.918413 0.936561 0.898889 0.889365 0.926296 0.750053 0.907354 0.823175 0.86164 0.877672 0.901693 0.85254 0.911852
10 0.838728 0.858863 0.907322 0.927987 0.944605 0.870713 0.916763 0.923314 0.944557 0.903805 0.887813 0.93343 0.739595 0.916474 0.828516 0.875482 0.890944 0.909489 0.846821 0.919653
11 0.856061 0.875244 0.916534 0.932483 0.949406 0.885965 0.921363 0.92247 0.946172 0.902844 0.880383 0.930755 0.72364 0.911217 0.826201 0.890395 0.904173 0.919989 0.831606 0.911616
12 0.871631 0.889587 0.927063 0.9405 0.955293 0.899162 0.928994 0.92809 0.949129 0.909147 0.882602 0.931583 0.718771 0.904134 0.822608 0.903517 0.915475 0.929035 0.831443 0.909393
13 0.87905 0.897705 0.934477 0.947183 0.959504 0.907761 0.934362 0.931982 0.950637 0.913289 0.886112 0.92941 0.721826 0.893405 0.818824 0.911523 0.92277 0.935398 0.833679 0.903808
14 0.891883 0.90956 0.941558 0.951299 0.961941 0.916306 0.938745 0.932359 0.948954 0.915801 0.883153 0.924098 0.715115 0.881494 0.814394 0.922258 0.930195 0.941342 0.828355 0.89596
15 0.899625 0.915883 0.94574 0.9515 0.961861 0.921302 0.942229 0.929686 0.946149 0.918234 0.875801 0.917553 0.698125 0.869393 0.810395 0.928289 0.935037 0.946046 0.817485 0.887526
16 0.906476 0.92249 0.950828 0.952996 0.962765 0.927374 0.946526 0.928798 0.944391 0.921746 0.87115 0.913917 0.679962 0.859569 0.807033 0.934621 0.940897 0.95141 0.808521 0.882214
17 0.914046 0.929307 0.955636 0.955297 0.964453 0.933685 0.950271 0.928968 0.94577 0.924312 0.868572 0.914354 0.668023 0.856949 0.806635 0.941053 0.946387 0.956067 0.801794 0.881212
18 0.920766 0.935185 0.958628 0.955502 0.964084 0.938399 0.951551 0.92625 0.943471 0.924127 0.861848 0.910769 0.652129 0.848815 0.804789 0.946361 0.950136 0.959218 0.791431 0.875885
19 0.926033 0.940747 0.961092 0.954754 0.963752 0.943407 0.952999 0.923231 0.942501 0.923571 0.853311 0.908602 0.633503 0.840407 0.804924 0.950538 0.953226 0.959847 0.778891 0.872128
20 0.92854 0.943519 0.961983 0.953513 0.961111 0.945588 0.952968 0.919635 0.939134 0.922195 0.844826 0.90305 0.620752 0.824646 0.801988 0.952533 0.954902 0.96024 0.767429 0.863725
21 0.928387 0.943998 0.961316 0.952118 0.958215 0.946626 0.95175 0.916272 0.936482 0.9189 0.837906 0.898245 0.60985 0.814175 0.79959 0.953012 0.955508 0.960449 0.757542 0.856959
22 0.929403 0.944885 0.960164 0.950249 0.955715 0.947732 0.949868 0.91204 0.932708 0.914404 0.829418 0.892541 0.600086 0.802293 0.793472 0.953249 0.956045 0.959579 0.747585 0.849908
23 0.93042 0.945775 0.959381 0.948339 0.954131 0.949374 0.948832 0.90836 0.93074 0.911022 0.824066 0.888864 0.594375 0.795598 0.787366 0.95386 0.956941 0.958962 0.740437 0.844326
24 0.929861 0.945714 0.958573 0.945594 0.952227 0.949904 0.947773 0.90376 0.928544 0.908261 0.818295 0.885656 0.587404 0.787811 0.783333 0.953831 0.957735 0.9591 0.734124 0.839392

Legend entries ordered vertically by AUROC at horizon of 24 months.

Dashed lines indicate 95 percent confidence interval.

Source: Author's calculation.

Return to text

Figure 2b: AUROC Sample 1984 - 2018

AUROC of best spreads

Months BestName value confidenceintervalhigh confidenceintervallow
1 OneRFF 0.944154 1 0.856445
2 OneRFF 0.94224 1 0.884347
3 ThreeRFF 0.912805 0.994579 0.83103
4 FiveRFF 0.912275 0.967776 0.856774
5 FiveRFF 0.915118 0.963191 0.867046
6 FiveRFF 0.91705 0.959095 0.875006
7 FiveRFF 0.920857 0.957544 0.884169
8 FiveRFF 0.928849 0.961582 0.896116
9 FiveRFF 0.936561 0.966174 0.906947
10 TenRFF 0.944605 0.96936 0.91985
11 TenRFF 0.949406 0.972434 0.926379
12 TenRFF 0.955293 0.976355 0.934231
13 TenRFF 0.959504 0.979258 0.93975
14 TenRFF 0.961941 0.981265 0.942616
15 TenRFF 0.961861 0.982492 0.94123
16 TenRFF 0.962765 0.98326 0.94227
17 TenRFF 0.964453 0.983931 0.944975
18 TenRFF 0.964084 0.983309 0.944858
19 TenRFF 0.963752 0.982349 0.945155
20 TenOne 0.961983 0.979261 0.944704
21 TenOne 0.961316 0.978621 0.944012
22 TenOne 0.960164 0.977698 0.94263
23 TenOne 0.959381 0.97705 0.941712
24 ThreeTwo 0.9591 0.976905 0.941295

Legend entries ordered vertically by AUROC at horizon of 24 months.

Dashed lines indicate 95 percent confidence interval.

Source: Author's calculation.

Return to text

Figure 3a: AUROC Sample 1976 - 2010

AUROC of all spreads

Months TenFive TenThree TenOne TenThreeMon TenRFF FiveThree FiveOne FiveThreeMon FiveRFF ThreeOne ThreeThreeMon ThreeRFF OneThreeMon OneRFF ThreeMonRFF TenTwo FiveTwo ThreeTwo TwoThreeMon TwoRFF
1 0.646927 0.678492 0.773184 0.831006 0.873743 0.706425 0.811732 0.853631 0.898324 0.850838 0.87067 0.92067 0.757263 0.940223 0.88743 0.720397 0.740793 0.796034 0.865156 0.925212
2 0.689631 0.710795 0.797585 0.848011 0.884659 0.728693 0.827131 0.871449 0.906534 0.864347 0.892898 0.925284 0.822443 0.943182 0.881392 0.745821 0.760807 0.81585 0.892651 0.929539
3 0.7158 0.735838 0.81474 0.86079 0.890077 0.750578 0.840944 0.882852 0.90684 0.872929 0.900193 0.921291 0.797399 0.926301 0.872447 0.766178 0.782209 0.831769 0.8913 0.921701
4 0.746765 0.768088 0.834485 0.869118 0.89875 0.782868 0.855294 0.883824 0.911691 0.879485 0.894412 0.922059 0.747941 0.922059 0.873015 0.791119 0.80709 0.841642 0.881343 0.920896
5 0.773234 0.795389 0.852575 0.881437 0.904611 0.809042 0.868683 0.892216 0.91485 0.887425 0.900359 0.921856 0.744192 0.917066 0.852335 0.813313 0.828024 0.855684 0.88845 0.920061
6 0.79502 0.814075 0.866413 0.895224 0.91123 0.824085 0.879726 0.90437 0.919055 0.895732 0.911585 0.924492 0.766311 0.921291 0.838313 0.830805 0.841899 0.868008 0.901187 0.924149
7 0.811136 0.829858 0.877773 0.90488 0.919831 0.839308 0.888864 0.91291 0.925555 0.90173 0.918678 0.929547 0.781766 0.928749 0.841615 0.844795 0.85534 0.8758 0.909779 0.929518
8 0.825396 0.847271 0.892168 0.918315 0.931369 0.858228 0.902413 0.925633 0.935087 0.911907 0.930736 0.938212 0.800356 0.937342 0.842722 0.862178 0.873031 0.891921 0.921262 0.938344
9 0.838315 0.861792 0.903978 0.930717 0.941219 0.873692 0.912688 0.937348 0.943763 0.919283 0.940573 0.94595 0.80871 0.941864 0.839928 0.87643 0.887322 0.904444 0.93071 0.945209
10 0.853651 0.877039 0.915789 0.938914 0.950362 0.889737 0.921842 0.941283 0.951151 0.925855 0.941086 0.951316 0.791184 0.941184 0.840329 0.889398 0.900301 0.913278 0.928595 0.948829
11 0.870927 0.892007 0.923856 0.939536 0.950854 0.900122 0.925717 0.937401 0.947468 0.927029 0.932855 0.945058 0.767053 0.917968 0.831635 0.902327 0.910239 0.922712 0.91148 0.938163
12 0.877911 0.897803 0.927797 0.939897 0.949772 0.905537 0.92851 0.935388 0.944035 0.92891 0.92714 0.939583 0.75214 0.897745 0.821718 0.90784 0.915012 0.927584 0.902468 0.928397
13 0.884854 0.905787 0.935159 0.947027 0.955248 0.914063 0.934642 0.941039 0.947817 0.934097 0.931947 0.941556 0.750599 0.887331 0.81495 0.915642 0.922595 0.934453 0.905502 0.92833
14 0.896537 0.916771 0.942558 0.952128 0.959741 0.922664 0.940264 0.944957 0.950668 0.938647 0.932807 0.942272 0.743299 0.877086 0.809736 0.925701 0.930532 0.941628 0.902739 0.926524
15 0.903881 0.92311 0.947979 0.953971 0.961893 0.928625 0.945297 0.945623 0.952166 0.943266 0.931082 0.941787 0.72854 0.866401 0.806333 0.932292 0.936581 0.947942 0.896778 0.923688
16 0.909975 0.928333 0.953826 0.954504 0.963139 0.933267 0.950585 0.945216 0.952327 0.947731 0.929833 0.941322 0.715968 0.858649 0.803454 0.93867 0.943278 0.954563 0.892174 0.92194
17 0.918048 0.934434 0.959036 0.956507 0.964864 0.937851 0.954846 0.94588 0.953043 0.951287 0.929986 0.941596 0.71037 0.855407 0.799438 0.945229 0.949404 0.960615 0.890386 0.921279
18 0.92346 0.939136 0.961787 0.95438 0.963513 0.941885 0.956629 0.94218 0.950745 0.952131 0.92346 0.938227 0.698905 0.84776 0.797028 0.94981 0.953168 0.964193 0.880489 0.916759
19 0.927127 0.943732 0.963839 0.950824 0.961372 0.946705 0.957805 0.937522 0.947652 0.951572 0.914685 0.933514 0.684373 0.837231 0.796071 0.952951 0.955848 0.963865 0.868869 0.91091
20 0.928578 0.945781 0.964032 0.946957 0.957613 0.948049 0.957613 0.932836 0.943299 0.950381 0.906025 0.928492 0.673079 0.825531 0.793093 0.954077 0.956609 0.963135 0.857648 0.904313
21 0.927063 0.944896 0.962521 0.942979 0.953604 0.947833 0.956104 0.928042 0.939542 0.948438 0.898417 0.924083 0.664292 0.817146 0.791083 0.953401 0.95625 0.962564 0.847683 0.898724
22 0.926504 0.944431 0.959797 0.939248 0.949004 0.94752 0.953455 0.923801 0.934695 0.944919 0.890874 0.917744 0.656768 0.806911 0.784492 0.952303 0.955249 0.960145 0.838133 0.890477
23 0.926196 0.943976 0.957585 0.936189 0.945784 0.947473 0.951625 0.920673 0.931322 0.942546 0.885668 0.913601 0.653131 0.800004 0.777734 0.951294 0.954337 0.95811 0.831731 0.885163
24 0.924234 0.942694 0.956194 0.934057 0.942421 0.946584 0.950591 0.917756 0.928494 0.941352 0.881264 0.910384 0.648168 0.79262 0.77202 0.950048 0.953763 0.957916 0.825425 0.880464

Legend entries ordered vertically by AUROC at horizon of 24 months.

Dashed lines indicate 95 percent confidence interval.

Source: Author's calculation.

Return to text

Figure 3b: AUROC Sample 1976 - 2010

AUROC of best spreads

Months BestName value confidenceintervalhigh confidenceintervallow
1 OneRFF 0.940223 1 0.869388
2 OneRFF 0.943182 0.992571 0.893793
3 OneRFF 0.926301 0.986716 0.865885
4 ThreeRFF 0.922059 0.975133 0.868984
5 ThreeRFF 0.921856 0.968435 0.875277
6 ThreeRFF 0.924492 0.965412 0.883572
7 ThreeRFF 0.929547 0.965344 0.893751
8 TwoRFF 0.938344 0.971515 0.905173
9 ThreeRFF 0.94595 0.973275 0.918625
10 ThreeRFF 0.951316 0.975715 0.926917
11 TenRFF 0.950854 0.972649 0.92906
12 TenRFF 0.949772 0.973371 0.926172
13 TenRFF 0.955248 0.977105 0.933391
14 TenRFF 0.959741 0.980275 0.939208
15 TenRFF 0.961893 0.98231 0.941477
16 TenRFF 0.963139 0.983066 0.943211
17 TenRFF 0.964864 0.983738 0.945991
18 ThreeTwo 0.964193 0.980599 0.947787
19 ThreeTwo 0.963865 0.980166 0.947565
20 TenOne 0.964032 0.980385 0.947679
21 ThreeTwo 0.962564 0.978999 0.946129
22 ThreeTwo 0.960145 0.977231 0.943059
23 ThreeTwo 0.95811 0.975723 0.940497
24 ThreeTwo 0.957916 0.975539 0.940293

Legend entries ordered vertically by AUROC at horizon of 24 months.

Dashed lines indicate 95 percent confidence interval.

Source: Author's calculation.

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Figure 4a: AUROC Sample 1984 - 2018

AUROC of all spreads

Months PrincipalComp TenTwoEBP SixQtrFwdThreeMon Best
1 0.921466 0.897033 0.860384 0.944154
2 0.934303 0.899912 0.860229 0.94224
3 0.917706 0.887106 0.848485 0.912805
4 0.913288 0.892342 0.838739 0.912275
5 0.929508 0.905464 0.845355 0.915118
6 0.931093 0.914365 0.854359 0.91705
7 0.932296 0.912344 0.85967 0.920857
8 0.938559 0.911017 0.876412 0.928849
9 0.945608 0.915873 0.887302 0.936561
10 0.952408 0.92264 0.888343 0.944605
11 0.954723 0.927964 0.883484 0.949406
12 0.959895 0.934993 0.88741 0.955293
13 0.963688 0.941425 0.890603 0.959504
14 0.96645 0.948485 0.887951 0.961941
15 0.967348 0.952011 0.882004 0.961861
16 0.968038 0.956198 0.878041 0.962765
17 0.970588 0.961833 0.875139 0.964453
18 0.971456 0.966737 0.86866 0.964084
19 0.971647 0.970345 0.861573 0.963752
20 0.970806 0.970969 0.854793 0.961983
21 0.969305 0.969988 0.848471 0.961316
22 0.967663 0.969138 0.840807 0.960164
23 0.966479 0.969141 0.83496 0.959381
24 0.965182 0.967481 0.828688 0.9591

Legend entries ordered vertically by AUROC at horizon of 24 months.

Dashed lines indicate 95 percent confidence interval.

Source: Author's calculation.

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Figure 4b: AUROC Sample 1984 - 2018

AUROC of best spreads

Months BestName value confidenceintervalhigh confidenceintervallow
1 Best 0.944154 1 0.856445
2 Best 0.94224 1 0.884347
3 PrincipalComp 0.917706 1 0.832781
4 PrincipalComp 0.913288 0.986152 0.840424
5 PrincipalComp 0.929508 0.972586 0.886431
6 PrincipalComp 0.931093 0.966048 0.896137
7 PrincipalComp 0.932296 0.962726 0.901866
8 PrincipalComp 0.938559 0.965637 0.911481
9 PrincipalComp 0.945608 0.96993 0.921287
10 PrincipalComp 0.952408 0.97436 0.930457
11 PrincipalComp 0.954723 0.976001 0.933444
12 PrincipalComp 0.959895 0.979299 0.94049
13 PrincipalComp 0.963688 0.981973 0.945403
14 PrincipalComp 0.96645 0.984081 0.948819
15 PrincipalComp 0.967348 0.985835 0.948862
16 PrincipalComp 0.968038 0.986031 0.950045
17 PrincipalComp 0.970588 0.98722 0.953956
18 PrincipalComp 0.971456 0.987642 0.955269
19 PrincipalComp 0.971647 0.987531 0.955763
20 TenTwoEBP 0.970969 0.987644 0.954295
21 TenTwoEBP 0.969988 0.986346 0.953631
22 TenTwoEBP 0.969138 0.98522 0.953055
23 TenTwoEBP 0.969141 0.984866 0.953417
24 TenTwoEBP 0.967481 0.983642 0.951319

Legend entries ordered vertically by AUROC at horizon of 24 months.

Dashed lines indicate 95 percent confidence interval.

Source: Author's calculation.

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Last Update: May 21, 2019