Dovern, Jonas ; Huber, Florian
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Abstract
We present evidence that global vectorautoregressive (GVAR) models produce significantly more accurate recession forecasts than country-specific time-series models in a Bayesian framework. This result holds for most countries and forecast horizons as well as for several country groups.
| Document type: | Working paper |
|---|---|
| Series Name: | Discussion Paper Series, University of Heidelberg, Department of Economics |
| Volume: | dp585 |
| Place of Publication: | Heidelberg |
| Date Deposited: | 17 Mar 2015 10:05 |
| Date: | March 2015 |
| Number of Pages: | 8 |
| Faculties / Institutes: | The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics |
| DDC-classification: | 330 Economics |
| Uncontrolled Keywords: | GVAR, recession forecast, QPS, probability forecast |
| Series: | Discussion Paper Series / University of Heidelberg, Department of Economics |
