Predicting Recessions with a Frontier Measure of Output Gap: An Application to Italian Economy

Camilla Mastromarco (), Leopold Simar and Valentin Zelenyuk

No WP102020, CEPA Working Papers Series from University of Queensland, School of Economics

Abstract: Despite the long and great history, developed institutions, and high level of physical and human capital, the Italian economy has been fairly stagnant during the last three decades. 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 and that our model, using either nonparametric or the linear probit model, is able to provide useful insights.

Keywords: Forecasting; 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: 2020-10
New Economics Papers: this item is included in nep-ecm, nep-his, nep-mac and nep-ore
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https://economics.uq.edu.au/files/23540/WP102020.pdf (application/pdf)

Related works:
Journal Article: Predicting recessions with a frontier measure of output gap: an application to Italian economy (2021)
Working Paper: Predicting recessions with a frontier measure of output gap: an application to Italian economy (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:qld:uqcepa:153

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