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 ()
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- Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA.
- Mike Artis & Hans-Martin Krolzig & Juan Toro, 2004.
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