Konferenzbeitrag
Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle
We use a Markow-switching dynamic factor model with three states for Germany with indicators selected by the Elastic Net. The states represent expansions, normal - and severe recessions. Adding a third state helps to identify all business cycle turning points in-sample and in real-time. Combining the factor and the recession probabilities with a GDP forecasting model yields accurate nowcasts and a correct prediction of the timing of the Great Recession and its recovery one quarter in advance.
- Language
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Englisch
- Bibliographic citation
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Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Forecasting ; No. E17-V3
- Classification
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Wirtschaft
Forecasting Models; Simulation Methods
Business Fluctuations; Cycles
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Event
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Geistige Schöpfung
- (who)
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Heinrich, Markus
Carstensen, Kai
Reif, Magnus
Wolters, Maik
- Event
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Veröffentlichung
- (who)
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (where)
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Kiel, Hamburg
- (when)
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2017
- Handle
- Last update
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10.03.2025, 11:42 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
- Konferenzbeitrag
Associated
- Heinrich, Markus
- Carstensen, Kai
- Reif, Magnus
- Wolters, Maik
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Time of origin
- 2017
Other Objects (12)
Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model
Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle
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Measuring and Predicting Heterogeneous Recessions
Measuring and Predicting Heterogeneous Recessions
Financial market volatility: Informative in predicting recessions
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The role of economic policy uncertainty in predicting U.S. recessions : A mixed-frequency Markov-switching vector autoregressive approach
The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Predicting Germany's recessions with leading indicators: Evidence from probit models
Predicting Germany's recessions with leading indicators : evidence from probit models
Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model
Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle
Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
Measuring and Predicting Heterogeneous Recessions
Measuring and Predicting Heterogeneous Recessions
Financial market volatility: Informative in predicting recessions
Predicting recessions in Germany with boosted regression trees
The role of economic policy uncertainty in predicting U.S. recessions : A mixed-frequency Markov-switching vector autoregressive approach
The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Predicting Germany's recessions with leading indicators: Evidence from probit models
Predicting Germany's recessions with leading indicators : evidence from probit models
Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model
Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle
Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
Measuring and Predicting Heterogeneous Recessions
Measuring and Predicting Heterogeneous Recessions
Financial market volatility: Informative in predicting recessions
Predicting recessions in Germany with boosted regression trees
The role of economic policy uncertainty in predicting U.S. recessions : A mixed-frequency Markov-switching vector autoregressive approach
The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
The role of economic policy uncertainty in predicting U.S. recessions: A mixed-frequency Markov-switching vector autoregressive approach
Predicting Germany's recessions with leading indicators: Evidence from probit models