Chen, Zhihong; Iqbal, Azhar; Lai, Huiwen - In: Canadian Journal of Economics 44 (2011) 2, pp. 651-672
Quantifying the probability of U.S. recessions has become increasingly important since August 2007. In a data-rich environment, this paper is the first to apply a Probit model to common factors extracted from a large set of explanatory variables to model and forecast recession probability. The...