Arbeitspapier
Qual VAR Revisited: Good Forecast, Bad Story
Due to the recent financial crisis, the interest in econometric models that allow to incorporate binary variables (such as the occurrence of a crisis) experienced a huge surge. This paper evaluates the performance of the Qual VAR, i.e. a VAR model including a latent variable that governs the behavior of an observable binary variable. While we find that the Qual VAR performs reasonably well in forecasting (outperforming a probit benchmark), there are substantial identification problems. Therefore, when the economic interpretation of the dynamic behavior of the latent variable and the chain of causality matter, the Qual VAR is inadvisable.
- Language
-
Englisch
- Bibliographic citation
-
Series: IWH Discussion Papers ; No. 12/2012
- Classification
-
Wirtschaft
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
-
binary choice model
Gibbs sampling
latent variable
MCMC
method evaluation
Binary-Choice-Modelle
Gibbs-Sampling
latente Variable
MCMC
Methodenevaluation
Prognoseverfahren
VAR-Modell
Bewertung
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
El-Shagi, Makram
von Schweinitz, Gregor
- Event
-
Veröffentlichung
- (who)
-
Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
- (where)
-
Halle (Saale)
- (when)
-
2012
- Handle
- URN
-
urn:nbn:de:101:1-201212176897
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
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
- El-Shagi, Makram
- von Schweinitz, Gregor
- Leibniz-Institut für Wirtschaftsforschung Halle (IWH)
Time of origin
- 2012
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Combining VAR and DSGE Forecast Densities
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Forecast combinations in a DSGE-VAR lab
Using forecast-augmented VAR evidence to dampen the forward guidance puzzle
An approach to increasing forecast‐combination accuracy through VAR error modeling
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Forecasting Macedonian business cycle turning points using Qual VAR model
Factor augmented VAR revisited - A sparse dynamic factor model approach
Factor augmented VAR revisited: A sparse dynamic factor model approach
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Qual VAR Revisited: Good Forecast, Bad Story
Bayesian forecast combination for VAR models
Combining VAR and DSGE Forecast Densities
Bayesian Forecast Combination for VAR Models
Forecast combinations in a DSGE-VAR lab
Using forecast-augmented VAR evidence to dampen the forward guidance puzzle
An approach to increasing forecast‐combination accuracy through VAR error modeling
Forecasting Macedonian Business Cycle Turning Points Using Qual Var Model
Forecasting Macedonian business cycle turning points using Qual VAR model
Factor augmented VAR revisited - A sparse dynamic factor model approach
Factor augmented VAR revisited: A sparse dynamic factor model approach