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Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia

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  • Bušs, Ginters

Abstract

The 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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File URL: http://mpra.ub.uni-muenchen.de/20688/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 20688.

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Date of creation: 14 Feb 2010
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Handle: RePEc:pra:mprapa:20688

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Keywords: Markov-switching; VAR; forecasting; leading information;

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  1. 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.
  2. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA.
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