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

DOI10.1016/J.ECONLET.2017.05.027zbMATH Open1401.62131OpenAlexW1623503665MaRDI QIDQ1782297FDOQ1782297

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

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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)

Cites Work

• Bayesian Model Averaging for Linear Regression Models
• Asymptotic Inference about Predictive Ability
• Time-varying combinations of predictive densities using nonlinear filtering
• Title not available (Why is that?)
• Forecasting inflation using dynamic model averaging

Cited In (4)

• 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
• Revisiting the transitional dynamics of business cycle phases with mixed-frequency data

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