Arbeitspapier
Combining Recession Probability Forecasts from a Dynamic Probit Indicator
This paper analyzes the real-time out-of-sample performance of three kinds of combination schemes. While for each the set of underlying forecasts is slightly modified, all of them are real-time recession probability forecasts generated by a dynamic probit indicator. Among the considered aggregations the most efficient turns out to be one that neglects the correlations between the forecast errors.
- Language
-
Englisch
- Bibliographic citation
-
Series: IMK Working Paper ; No. 89
- Classification
-
Wirtschaft
- Subject
-
Konjunkturprognose
Prognoseverfahren
Probit-Modell
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Theobald, Thomas
- Event
-
Veröffentlichung
- (who)
-
Hans-Böckler-Stiftung, Institut für Makroökonomie und Konjunkturforschung (IMK)
- (where)
-
Düsseldorf
- (when)
-
2012
- Handle
- URN
-
urn:nbn:de:101:1-201202285303
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Theobald, Thomas
- Hans-Böckler-Stiftung, Institut für Makroökonomie und Konjunkturforschung (IMK)
Time of origin
- 2012
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Recession Forecasting with Dynamic Probit Models under Real Time Conditions
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Yield-Curve Based Probability Forecasts of U.S. Recessions: Stability and Dynamics
Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland
Evaluating Probability Forecasts in Terms of Refinement and Strictly Proper Scoring Rules
Combining Recession Probability Forecasts from a Dynamic Probit Indicator
On the Ordering of Probability Forecasts
On the ordering of probability forecasts
Recession Forecasting with Dynamic Probit Models under Real Time Conditions
Recession Forecasting with Dynamic Probit Models under Real Time Conditions
ROC and PRC Approaches to Evaluate Recession Forecasts
What can probability forecasts tell us about inflation risks?
Probability forecasts of daily areal precipitation for small river basins
Probability forecasts of daily areal precipitation for small river basins
Yield-Curve Based Probability Forecasts of U.S. Recessions: Stability and Dynamics
Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland