The “probability of recession”: Evaluating probabilistic and non-probabilistic forecasts from probit models of U.S. recessions

Ryan Ratcliff

Economics Letters, 2013, vol. 121, issue 2, 311-315

Abstract: This letter evaluates forecasts from probit models that use the slope of the yield curve to forecast recessions. These models give reliable non-probabilistic warnings of recessions, but the estimated probabilities do not match the conditional frequency of recession months.

Keywords: Recession forecast; Forecast evaluation; Calibration (search for similar items in EconPapers)
JEL-codes: C2 E3 E4 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:311-315

DOI: 10.1016/j.econlet.2013.09.002

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