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Revisiting forecasting of recessions via dynamic probit for time series by Kauppi and Saikkonen (2008)

Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin - 2017

Persistent link: https://www.econbiz.de/10011746524

Predicting recessions with a frontier measure of output gap : an application to Italian economy

Mastromarco, Camilla; Simar, Léopold; Zelenyuk, Valentin - In: Empirical economics : a quarterly journal of the … 60 (2021) 6, pp. 2701-2740

Persistent link: https://www.econbiz.de/10012585679

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

Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin - In: Empirical economics : a journal of the Institute for … 58 (2020) 1, pp. 379-392

Persistent link: https://www.econbiz.de/10012219002

Predicting recessions with a frontier measure of output gap : an application to Italian economy

Mastromarco, Camilla; Simar, Léopold; Zelenyuk, Valentin - 2020 - Revised version

Persistent link: https://www.econbiz.de/10012428450

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2011

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10014047091