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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
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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
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Persistent link: https://EconPapers.repec.org/RePEc:qld:uqcepa:130

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