Citations for "Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions"
by Michael J. Dueker
- Nikolaos Antonakakis & Rangan Gupta & John W. Muteba Mwamba, 2015. "Dynamic Comovements between Housing and Oil Markets in the US over 1859 to 2013: A Note," Working Papers 201579, University of Pretoria, Department of Economics.
- Tillmann, Peter, 2016. "Unconventional monetary policy and the spillovers to emerging markets," Journal of International Money and Finance, Elsevier, vol. 66(C), pages 136-156.
- Thornton, Daniel L., 2016. "Guest editor's introduction: What monetary policy can and cannot do," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 1-4.
- Rachidi Kotchoni & Dalibor Stevanovic, 2016.
"Forecasting U.S. Recessions and Economic Activity,"
CIRANO Working Papers
- Michael J. Dueker, 2006.
"Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models,"
2005-057, Federal Reserve Bank of St. Louis.
- Dueker, Michael, 2006. "Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models," Economics Letters, Elsevier, vol. 93(1), pages 58-62, October.
- Travis J. Berge, 2013.
"Predicting recessions with leading indicators: model averaging and selection over the business cycle,"
Research Working Paper
RWP 13-05, Federal Reserve Bank of Kansas City.
- Travis J. Berge, 2015. "Predicting Recessions with Leading Indicators: Model Averaging and Selection over the Business Cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(6), pages 455-471, 09.
- Marcelle, Chauvet & Simon, Potter, 2007. "Monitoring Business Cycles with Structural Breaks," MPRA Paper 15097, University Library of Munich, Germany, revised 31 Apr 2009.
- James D. Hamilton, 2010.
"Calling Recessions in Real Time,"
NBER Working Papers
16162, National Bureau of Economic Research, Inc.
- Vasilios Plakandaras & Juncal Cunado & Rangan Gupta & Mark E. Wohar, 2016. "Do Leading Indicators Forecast U.S. Recessions? A Nonlinear Re-Evaluation Using Historical Data," Working Papers 201685, University of Pretoria, Department of Economics.
- Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
- Nikolaos Antonakakis & Rangan Gupta & John W. Muteba Mwamba, 2016. "Dynamic Comovements Between Housing and Oil Markets in the US over 1859 to 2013: a Note," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(3), pages 377-386, September.
- Tillmann, Peter, 2015. "Estimating the effects of macroprudential policy shocks: A Qual VAR approach," Economics Letters, Elsevier, vol. 135(C), pages 1-4.
- Tiziana Cesaroni & Stefano Iezzi, 2015.
"The Predictive Content of Business Survey Indicators: evidence from SIGE,"
Working Papers LuissLab
15118, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Tatiana Cesaroni & Stefano Iezzi, 2015. "The predictive content of business survey indicators: evidence from SIGE," Temi di discussione (Economic working papers) 1031, Bank of Italy, Economic Research and International Relations Area.
- Annette Meinusch & Peter Tillmann, 2014. "The Macroeconomic Impact of Unconventional Monetary Policy Shocks," MAGKS Papers on Economics 201426, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Peter Tillmann, 2014. "Unconventional Monetary Policy Shocks and the Spillovers to Emerging Markets," Working Papers 182014, Hong Kong Institute for Monetary Research.
- Sameer Khatiwada, 2017. "Quantitative Easing by the Fed and International Capital Flows," IHEID Working Papers 02-2017, Economics Section, The Graduate Institute of International Studies.
- Michael J. Dueker & Charles R. Nelson, 2003. "Business cycle detrending of macroeconomic data via a latent business cycle index," Working Papers 2002-025, Federal Reserve Bank of St. Louis.
- John G. Fernald & Bharat Trehan, 2006. "Is a recession imminent?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue nov24.
- Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
- Michael Dueker & Katrin Assenmacher-Wesche, 2010.
"Forecasting macro variables with a Qual VAR business cycle turning point index,"
Taylor & Francis Journals, vol. 42(23), pages 2909-2920.
- Michael J. Dueker & Katrin Wesche, 2005. "Forecasting macro variables with a Qual VAR business cycle turning point index," Working Papers 2001-019, Federal Reserve Bank of St. Louis.
- Park, Byeong U. & Simar, Léopold & Zelenyuk, Valentin, 2017.
"Nonparametric estimation of dynamic discrete choice models for time series data,"
Computational Statistics & Data Analysis,
Elsevier, vol. 108(C), pages 97-120.
- Byeong U. Park & Leopold Simar & Valentin Zelenyuk, 2016. "Nonparametric Estimation of Dynamic Discrete Choice Models for Time Series Data," CEPA Working Papers Series WP062016, School of Economics, University of Queensland, Australia.
- Fornari, Fabio & Lemke, Wolfgang, 2010. "Predicting recession probabilities with financial variables over multiple horizons," Working Paper Series 1255, European Central Bank.
- Rachidi Kotchoni & Dalibor Stevanovic, 2013.
"Probability and Severity of Recessions,"
Cahiers de recherche
- Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
- Meinusch, Annette & Tillmann, Peter, 2016. "The macroeconomic impact of unconventional monetary policy shocks," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 58-67.
- Nalewaik, Jeremy J., 2011. "Incorporating vintage differences and forecasts into Markov switching models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 281-307, April.
- Adrian Pagan & Don Harding, 2011.
"Econometric Analysis and Prediction of Recurrent Events,"
NCER Working Paper Series
75, National Centre for Econometric Research.
- Adrian Pagan & Don Harding, 2011. "Econometric Analysis and Prediction of Recurrent Events," CREATES Research Papers 2011-33, Department of Economics and Business Economics, Aarhus University.
- Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
- Vladimir Dubrovskiy & Inna Golodniuk & Janusz Szyrmer, 2009. "Composite Leading Indicators for Ukraine: An Early Warning Model," CASE Network Reports 0085, CASE-Center for Social and Economic Research.
- Adrian Pagan, 2005. "Some Econometric Analysis Of Constructed Binary Time Series," CAMA Working Papers 2005-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Lazzarini, S. G. & Madalozzo, R. C & Artes, R. & Siqueira, J. O., 2004. "Measuring trust: An experiment in Brazil," Insper Working Papers wpe_42, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Henri Nyberg, 2010. "Dynamic probit models and financial variables in recession forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 215-230.
- Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research.
- Nalewaik, Jeremy J., 2011. "Incorporating vintage differences and forecasts into Markov switching models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 281-307.
- Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne.
- Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
- Chauvet, Marcelle & Potter, Simon, 2010. "Business cycle monitoring with structural changes," International Journal of Forecasting, Elsevier, vol. 26(4), pages 777-793, October.
- Elena-Ivona Dumitrescu & Bertrand Candelon & Christophe Hurlin & Franz C. Palm, 2012. "Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation," Working Papers halshs-00630036, HAL.
- Bertrand Candelon & Elena-Ivona DUMITRESCU & Christophe HURLIN & Franz C. PALM, 2011. "Modelling Financial Crises Mutation," LEO Working Papers / DR LEO 1238, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.