A probit model for the state of the Greek GDP growth

Artikel

The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the state of the GDP growth. A contemporaneous, as well as a lagged, relationship between the explanatory variables and the state of the GDP growth is conducted. The mean absolute distance (MAD) between the probability of not being in recession and the probability estimated by the probit model is the function that evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as the explanatory variables has the lowest MAD value of 6.43% (7.94%) in the contemporaneous (lagged) relationship.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 3 ; Year: 2015 ; Issue: 3 ; Pages: 381-392 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Econometric and Statistical Methods: Special Topics: General ; Model Construction and Estimation ; Forecasting Models; Simulation Methods
• Subject: GDP growth ; industrial production ; probability of recession ; probit model ; realized volatility ; regime switching

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Degiannakis, Stavros
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2015

Further information

• DOI: doi:10.3390/ijfs3030381
• Handle: http://hdl.handle.net/10419/167789
• Last update: 10.03.2025, 11:44 AM CET