Abstract: In this paper discrete choice models, Logit and Probit
are examined in order to predict the economic recession or expansion
periods in USA. Additionally we propose an adaptive neuro-fuzzy
inference system with triangular membership function. We examine
the in-sample period 1947-2005 and we test the models in the out-of
sample period 2006-2009. The forecasting results indicate that the
Adaptive Neuro-fuzzy Inference System (ANFIS) model outperforms
significant the Logit and Probit models in the out-of sample period.
This indicates that neuro-fuzzy model provides a better and more
reliable signal on whether or not a financial crisis will take place.