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
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)
New Economics Papers: this item is included in nep-for and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/20688/1/MPRA_paper_20688.pdf original version (application/pdf)
Journal Article: FORECASTS WITH SINGLE - EQUATION MARKOV - SWITCHING MODEL: AN APPLICATION TO THE GROSS DOMESTIC PRODUCT OF LATVIA (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20688
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().