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FORECASTS WITH SINGLE - EQUATION MARKOV - SWITCHING MODEL: AN APPLICATION TO THE GROSS DOMESTIC PRODUCT OF LATVIA

Ginters Buss ()

Journal of Applied Economic Sciences, 2010, vol. 5, issue 2(12)/Summer2010, 48-58

Abstract: The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform slightly better than linear VAR models when no leading information is available. However, if reliable leading information is available, single-equation MS models tend to give somewhat less precise forecasts than linear VAR models.

Keywords: Markov-switching; VAR; forecasting; leading information (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2010
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Related works:
Working Paper: Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia (2010) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:ush:jaessh:v:5:y:2010:i:2(12)_spring2010:p:100

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