Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

This letter evaluates two types of forecasts from probit models that use the slope of the yield curve (“term spread”) to forecast NBER recessions, using an evaluation toolkit common in statistics and meteorology. The probit models provide excellent non-probabilistic yes/no predictions of...