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Revisiting Forecasting of Recessions via Dynamic Probit for Time Series by Kauppi and Saikkonen (2008)

Byeong U. Park, Leopold Simar () and Valentin Zelenyuk

No WP032017, CEPA Working Papers Series from University of Queensland, School of Economics

Abstract: In this work we first replicate the results of fully parametric dynamic probit model for forecasting US recessions from Kauppi and Saikkonen (2008) (which is in the spirit of Estrella and Mishkin (1995, 1998) and Dueker (1997)) and then contrast them to results from non-parametric local-likelihood dynamic probit model for the same data.

New Economics Papers: this item is included in nep-mac
Date: 2017-06
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