A Probit Model for the State of the Greek GDP Growth

Stavros Degiannakis

IJFS, 2015, vol. 3, issue 3, 1-12

Abstract: The paper provides probability estimates of the state of the GDP growth. A regime-switching model defines the probability of the Greek GDP being in boom or recession. Then probit models extract the predictive information of a set of explanatory (economic and financial) variables regarding the state of the GDP growth. A contemporaneous, as well as a lagged, relationship between the explanatory variables and the state of the GDP growth is conducted. The mean absolute distance (MAD) between the probability of not being in recession and the probability estimated by the probit model is the function that evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as the explanatory variables has the lowest MAD value of 6.43% (7.94%) in the contemporaneous (lagged) relationship.

Keywords: GDP growth; industrial production; probability of recession; probit model; realized volatility; regime switching (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2015
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Working Paper: A Probit Model for the State of the Greek GDP Growth (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:3:y:2015:i:3:p:381-392:d:54168

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