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Forecasting of recessions via dynamic probit for time series: replication and extension of Kauppi and Saikkonen (2008)

Author

Listed:
  • Park, Byeong U.
  • Simar, Leopold
  • Zelenyuk, Valentin

Abstract

In this work, we first replicate the results of the fully parametric dynamic probit model for forecasting US recessions from Kauppi and Saikkonen (Rev Econ Stat 90(4):777–791, 2008) [which is in the spirit of Estrella and Mishkin (Rev Econ Stat 80(1):45–61, 1998) and Dueker (Rev Fed Reserve Bank St Louis 79(2):41–51, 1997)] and then contrast them to results from a nonparametric local-likelihood dynamic choice model for the same data. We then use expanded data to gain insights on whether these models could have warned the public about approach of the latest recession, associated with the Global Financial Crisis. Finally, we also apply both approaches to gain insights for 2018.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Park, Byeong U. & Simar, Leopold & Zelenyuk, Valentin, 2019. "Forecasting of recessions via dynamic probit for time series: replication and extension of Kauppi and Saikkonen (2008)," LIDAM Reprints ISBA 2019014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2019014
    Note: In : Empirical Economics, vol. 58, p. 379-392 (2020)
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    Cited by:

    1. is not listed on IDEAS
    2. Hasse, Jean-Baptiste & Lajaunie, Quentin, 2022. "Does the yield curve signal recessions? New evidence from an international panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 9-22.
    3. Camilla Mastromarco & Léopold Simar & Valentin Zelenyuk, 2021. "Predicting recessions with a frontier measure of output gap: an application to Italian economy," Empirical Economics, Springer, vol. 60(6), pages 2701-2740, June.

    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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