A NEW MODEL WITH REGIME SWITCHING ERRORS: FORECASTING GDP IN TIMES OF GREAT RECESSION

A NEW MODEL WITH REGIME SWITCHING ERRORS: FORECASTING GDP IN TIMES OF GREAT RECESSION

This paper investigates the possibility to obtain better GDP forecasts in the early stages of Great Recession. Here, predictive performance refers to exclusively out-of-sample forecasts. Based on exploratory data analysis and general-to-specific modelling, this paper proposes a univariate predictiv...

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Bibliographic Details
Main Author: Algirdas Bartkus
Format: Article
Language:English
Published: Vilnius University Press 2016-10-01
Series:Ekonomika
Subjects:
univariate time series models
forecasting and prediction methods
autocorrelated errors
threshold models
GDP forecasting
Online Access:https://www.journals.vu.lt/ekonomika/article/view/10122

Internet

https://www.journals.vu.lt/ekonomika/article/view/10122

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