Economics at your fingertips  

Forecasting of Recessions via Dynamic Probit for Time Series: Replication and Extension of Kauppi and Saikkonen (2008)

Byeong U. Park, Leopold Simar () and Valentin Zelenyuk
Additional contact information
Byeong U. Park: Department of Statistics, Seoul National University, Korea

No WP092018, CEPA Working Papers Series from University of Queensland, School of Economics

Abstract: In this work we first replicate the results of the 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 a nonparametric local-likelihood dynamic choice model for the same data. We then use expanded data to gain insights on whether these models could have warned the public about approach of the latest recession, associated with the Global Financial Crisis. Finally, we also apply both approaches to gain insights for 2018.

Keywords: Forecasting of recessions; Nonparametric quasi-likelihood; Local likelihood; Dynamic discrete choice. (search for similar items in EconPapers)
JEL-codes: C14 C22 C25 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-ore
Date: 2018-11
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in CEPA Working Papers Series from University of Queensland, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by SOE IT ().

Page updated 2019-10-14
Handle: RePEc:qld:uqcepa:130