Model averaging in Markov-switching models: predicting national recessions with regional data

DOI10.1016/J.ECONLET.2017.05.027zbMath1401.62131OpenAlexW1623503665MaRDI QIDQ1782297

Pierre Guérin, Danilo Leiva-Leon

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/123763

zbMATH Keywords

business cyclesforecastingforecast combinationnowcastingMarkov-switching

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Markov processes: hypothesis testing (62M02)

Related Items (2)

Forecasting national recessions of the United States with state-level climate risks: evidence from model averaging in Markov-switching models ⋮ FORECASTING STOCK MARKET CRASHES VIA REAL-TIME RECESSION PROBABILITIES: A QUANTUM COMPUTING APPROACH

Cites Work

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• Time-varying combinations of predictive densities using nonlinear filtering
• Bayesian Model Averaging for Linear Regression Models
• FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING*
• Asymptotic Inference about Predictive Ability

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