Showing 1 - 10 of 33
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MS-VAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011554324
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary regimes of the (quarterly) U.S. GDP. In this regard, the authors apply a mixed-frequency Markov-switching vector autoregressive (MF-MSVAR) model, and compare its in-sample and...
Persistent link: https://www.econbiz.de/10011443536
Persistent link: https://www.econbiz.de/10012255840
This paper uses small set of variables-- real GDP, the inflation rate, and the short-term interest rate -- and a rich set of models -- athoeretical (time-series) and theoretical (structural), linear and nonlinear, as well as classical and Bayesian models -- to consider whether we could have...
Persistent link: https://www.econbiz.de/10013036275
This paper provides a new and unique look at the dynamics and persistence of historical house prices in the US and the UK using fractional integration techniques not previously applied to housing markets. We use annual data from 1830 to 2016 for the US and 1845 to 2016 for the UK, which provides...
Persistent link: https://www.econbiz.de/10012852082
This paper analyses to what extent a selection of leading indicators is able to forecast U.S. recessions, by means of both dynamic probit models and Support Vector Machine (SVM) models, using monthly data from January 1871 to June 2016. The results suggest that the probit models predict U.S....
Persistent link: https://www.econbiz.de/10012901502
This paper estimates Bayesian Vector Autoregressive (BVAR) models, both spatial and non-spatial (univariate and multivariate), for the twenty largest states of the US economy, using quarterly data over the period 1976:Q1 to 1994:Q4; and then forecasts one-to-four quarters-ahead real house price...
Persistent link: https://www.econbiz.de/10013143041
Persistent link: https://www.econbiz.de/10011861401
Persistent link: https://www.econbiz.de/10011811363
Persistent link: https://www.econbiz.de/10011625589