Combining Recession Probability Forecasts from a Dynamic Probit Indicator

Thomas Theobald

No 89-2012, IMK Working Paper from IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute

Abstract: This paper analyzes the real-time out-of-sample performance of three kinds of combination schemes. While for each the set of underlying forecasts is slightly modified, all of them are real-time recession probability forecasts generated by a dynamic probit indicator. Among the considered aggregations the most efficient turns out to be one that neglects the correlations between the forecast errors.

Pages: 16 pages
Date: 2012
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