Forecasts With Single - Equation Markov - Switching Model: An Application To The Gross Domestic Product Of Latvia
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.
Volume (Year): 5 (2010)
Issue (Month): 2(12)/Summer2010 ()
|Contact details of provider:|| Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14|
More information through EDIRC
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.:
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2002.
"The European Business Cycle,"
Economic Working Papers at Centro de Estudios Andaluces
E2002/19, Centro de Estudios Andaluces.
- 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.
When requesting a correction, please mention this item's handle: RePEc:ush:jaessh:v:5:y:2010:i:2(12)_spring2010:p:100. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Stefanescu)
If references are entirely missing, you can add them using this form.