Forecasting U.S. recessions with probit models

Vol 53, 2021 - 139550
Trabalho completo (oral)
Favorite this paper
How to cite this paper?
Abstract

In this important and highly researched topic, recession forecasting in the United States, we aim to review previous benchmark works on the econometric literature to draw inspiration and try to improve prediction using different methods. The most widely used variable, and also the one by far with the highest prediction power, is the yield curve. We try to add prediction power to this model with two approaches: using other financial variables and trying different kind of models. We also try to improve the forecasts of previous works with approaches using the Lasso variable selection method and with General Autoregressive Score (GAS) models. These models were able to achieve meaningful prediction power in both short and long time forecast horizons.

Share your ideas or questions with the authors!

Did you know that the greatest stimulus in scientific and cultural development is curiosity? Leave your questions or suggestions to the author!

Sign in to interact

Have a question or suggestion? Share your feedback with the authors!

Institutions
  • 1 Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio)
Track
  • 9 - EST & MP - Statistics and Probabilistic Models
Keywords
Recession forecasting
time series
Lasso