Kotchoni, Rachidi; Stevanovic, Dalibor - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
This paper tackles the prediction of the probability and severity of US recessions. We employ parsimonious Probit models to estimate the probability of a recession h periods ahead, for h varying between 1 and 8 quarters. A novel goodness-of-fit measure derived from the Kullback-Leibler...