A Probit Model for the State of the Greek GDP Growth

Stavros Degiannakis

MPRA Paper from University Library of Munich, Germany

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: C22 C32 C40 C51 C53 E27 (search for similar items in EconPapers)
Date: 2015
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Published in International Journal of Financial Studies 3.3(2015): pp. 381-392

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Journal Article: A Probit Model for the State of the Greek GDP Growth (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:96280

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