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Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia

Ginters Buss ()

MPRA Paper from University Library of Munich, Germany

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 C13 C51 C53 C52 C22 (search for similar items in EconPapers)
Date: 2010-02-14
New Economics Papers: this item is included in nep-for and nep-ore
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Related works:
Journal Article: FORECASTS WITH SINGLE - EQUATION MARKOV - SWITCHING MODEL: AN APPLICATION TO THE GROSS DOMESTIC PRODUCT OF LATVIA (2010) Downloads
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