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

DOI10.1016/J.ECONLET.2017.05.027MaRDI QIDQ1782297zbMATH OpenOpenAlexFDO

Authors 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

forecastingforecast combinationbusiness cyclesnowcastingMarkov-switching

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 509150 (Why is no real title available?)
• Asymptotic Inference about Predictive Ability
• Bayesian Model Averaging for Linear Regression Models
• Forecasting inflation using dynamic model averaging
• Time-varying combinations of predictive densities using nonlinear filtering

Cited in

(4)

• Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
• Measuring and predicting heterogeneous recessions
• FORECASTING STOCK MARKET CRASHES VIA REAL-TIME RECESSION PROBABILITIES: A QUANTUM COMPUTING APPROACH
• Forecasting national recessions of the United States with state-level climate risks: evidence from model averaging in Markov-switching models

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