Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/105938
Authors: 
Proaño, Christian R.
Year of Publication: 
2010
Series/Report no.: 
IMK Working Paper 10/2010
Abstract: 
In this paper a dynamic probit model for recession forecasing under pseudo-real time is set up using a large set of macroeconomic and financial monthly indicators for Germany. Using different initial sets of explanatory variables, alternative dynamic probit specifications are obtained through an automatized general-to-specific lag selection procedure, which are then pooled in order to decrease the volatility of the estimated recession probabilities and increase their forecasting accuracy. As it is shown in the paper, this procedure does not only feature good in-sample forecast statistics, but has also good out-of-sample performance, as pseudo-real time evaluation exercises show.
Subjects: 
Dynamic probit models
out-of-sample forecasting
yield curve
real-time econometrics
JEL: 
C25
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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