Forecasts With Single - Equation Markov - Switching Model: An Application To The Gross Domestic Product Of Latvia
AbstractThe 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.
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Bibliographic InfoArticle provided by Spiru Haret University, Faculty of Financial Management and Accounting Craiova in its journal Journal of Applied Economic Sciences.
Volume (Year): 5 (2010)
Issue (Month): 2(12)/Summer2010 ()
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Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
More information through EDIRC
Markov-switching; VAR; forecasting; leading information;
Other versions of this item:
- Bušs, Ginters, 2010. "Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia," MPRA Paper 20688, University Library of Munich, Germany.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
- Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA.
- Hans-Martin Krolzig, 2000. "Predicting Markov-Switching Vector Autoregressive Processes," Economics Series Working Papers 2000-W31, University of Oxford, Department of Economics.
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