Predicting Recessions: A New Measure of Output Gap as Predictor

Camilla Mastromarco (), Leopold Simar and Valentin Zelenyuk

No WP112019, CEPA Working Papers Series from University of Queensland, School of Economics

Abstract: In this paper, we merge two streams of literature: nonparametric methods to estimate frontier efficiency of an economy, which allows us to develop a new measure of output gap, and nonparametric methods to estimate probability of an economic recession. To illustrate the new framework we use quarterly data for Italy from 1995 to 2019, and find that our model, using either nonparametric or the linear probit model is able to provide useful insights

Keywords: Output Gap; Robust Nonparametric Frontier; Generilized Nonparametric Quasi-Likelihood Method; Italian recession. (search for similar items in EconPapers)
JEL-codes: C13 C14 C32 C5 D24 E37 O4 (search for similar items in EconPapers)
Date: 2019-10
New Economics Papers: this item is included in nep-eff and nep-mac
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https://economics.uq.edu.au/files/16402/WP112019.pdf (application/pdf)

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Working Paper: Predicting Recessions: A New Measure of Output Gap as Predictor (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:qld:uqcepa:141

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