Combining Recession Probability Forecasts from a Dynamic Probit Indicator

This paper analyzes the real-time out-of-sample performance of three kinds of combination schemes. While for each the set of underlying forecasts is slightly modified, all of them are real-time recession probability forecasts generated by a dynamic probit indicator. Among the considered aggregations the most efficient turns out to be one that neglects the correlations between the forecast errors.

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Year of publication:	2012
Authors:	Theobald, Thomas
Publisher:	Düsseldorf : Hans-Böckler-Stiftung, Institut für Makroökonomie und Konjunkturforschung (IMK)
Subject:	Konjunkturprognose \| Prognoseverfahren \| Probit-Modell \| Theorie

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Series:	IMK Working Paper ; 89
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	715313983 [GVK] hdl:10419/105955 [Handle] RePEc:imk:wpaper:89-2012 [RePEc]
Source:	EconStor

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