Combining Recession Probability Forecasts from a Dynamic Probit Indicator
AbstractThis paper analyzes the real-time out-of-sample performance of three kinds of combination schemes. While for each the set of underlying forecasts is slightly modified, all of them are real-time recession probability forecasts generated by a dynamic probit indicator. Among the considered aggregations the most efficient turns out to be one that neglects the correlations between the forecast errors.
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Bibliographic InfoPaper provided by IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute in its series IMK Working Paper with number 89-2012.
Length: 16 pages
Date of creation: 2012
Date of revision:
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