Balcilar, Mehmet; Gupta, Rangan; Segnon, Mawuli - 2016
This paper analyzes the performance of the monthly economic policy uncertainty (EPU) index in predicting recessionary …-switching vector autoregressive model (MS-VAR, where the EPU is averaged over the months to produce quarterly values) and a Markov … highlight the importance of using high-frequency values of the EPU, and not averaging them to obtain quarterly values, when …