Nothing Special   »   [go: up one dir, main page]

create a website
Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics. (2008). Kauppi, Heikki.
In: Discussion Papers.
RePEc:tkk:dpaper:dp31.

Full description at Econpapers || Download paper

Cited: 9

Citations received by this document

Cites: 23

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Negative house price co-movements and US recessions. (2019). Eriksen, Jonas ; Christiansen, Charlotte ; Moller, Stig V.
    In: Regional Science and Urban Economics.
    RePEc:eee:regeco:v:77:y:2019:i:c:p:382-394.

    Full description at Econpapers || Download paper

  2. Market timing over the business cycle. (2018). Sander, Magnus .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:46:y:2018:i:c:p:130-145.

    Full description at Econpapers || Download paper

  3. Binary time series models driven by a latent process. (2017). Fokianos, Konstantinos ; Moysiadis, Theodoros .
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:2:y:2017:i:c:p:117-130.

    Full description at Econpapers || Download paper

  4. On binary and categorical time series models with feedback. (2014). Fokianos, Konstantinos ; Moysiadis, Theodoros .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:131:y:2014:i:c:p:209-228.

    Full description at Econpapers || Download paper

  5. Forecasting US recessions: The role of sentiment. (2014). Eriksen, Jonas ; Christiansen, Charlotte ; Moller, Stig Vinther .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:459-468.

    Full description at Econpapers || Download paper

  6. The “probability of recession”: Evaluating probabilistic and non-probabilistic forecasts from probit models of U.S. recessions. (2013). Ratcliff, Ryan .
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:2:p:311-315.

    Full description at Econpapers || Download paper

  7. Forecasting US recessions with various risk factors and dynamic probit models. (2012). Ng, Eric ; Ng, Eric C. Y., .
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:34:y:2012:i:1:p:112-125.

    Full description at Econpapers || Download paper

  8. Dynamic probit models and financial variables in recession forecasting. (2010). Nyberg, Henri.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:1-2:p:215-230.

    Full description at Econpapers || Download paper

  9. Testing an autoregressive structure in binary time series models. (2010). Nyberg, Henri.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-10-00253.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Andrews, D. W. K. (1993) ~Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821-856.

  2. Andrews, D. W. K. (2003) ~Tests for parameter instability and structural change with unknown change point: Corrigendum, Econometrica, 71, 395-397.

  3. Andrews, D. W. K., and R. C. Fair (1988) ~Inference in non-linear econometric models with structural change, Review of Economic Studies, 55, 615-640.
    Paper not yet in RePEc: Add citation now
  4. Barndorff-Nielsen, 0., and G. Schou (1973) ~On the parametrization of autoregressive models by partial autocorrelations, Journal of Multivariate Analysis, 3, 408-419.

  5. Chauvet, M., and J. Piger (2008) ~A comparison of the real-time performance of business cycle dating methods, Journal of Business Economics and Statistics, 26, 42-49.

  6. Chauvet, M., and S. Potter (2005) ~Forecasting recessions using the yield curve, Journal of Forecasting, 24, 77-103.

  7. Davidson, J. (2000) ~Econometric theory, Oxford, UK: Blackwell Publishers Ltd.
    Paper not yet in RePEc: Add citation now
  8. Estrella, A. (1998) ~A new measure of fit for equations with dichotomous dependent variables, Journal of Business ~ Economic Statistics, 16, 198-205.

  9. Estrella, A. (2003) ~Critical values and p values of Bessell process distributions: computation and application to structural break tests, Econometric Theory, 19, 1128-1143.

  10. Estrella, A., A. P. Rodrigues, and S. Schich (2003) ~How stable is the predictive power of the yield curve? Evidence from Germany and the United States, Review of Economics and Statistics, 85, 629-644.

  11. Estrella, A., and G. Hardouvelis (1991) ~The term structure as a predictor of real economic activity, Journal of Finance, 46, 555-576.

  12. Estrella, A., and M. R. Trubin (2006) ~The yield curve as a leading indicator: some practical issues, Federal Reserve Bank of New York, Current Issues in Economics and Finance, 12, 1-7.

  13. Fahrmeir, L., and H. Kaufmann (1987) ~Regression models for non-stationary categorical time series, Journal of Time Series Analysis, 8, 147-160.
    Paper not yet in RePEc: Add citation now
  14. Fokianos, K., and B. Kedem (1998) ~Prediction and classification of non-stationary categorical time series, Journal of Multivariate Analysis, 67, 277-296.

  15. Harding, D., and A. Pagan (2002) ~A comparison of two business cycle dating methods, Journal of Economic Dynamics ~ Control, 27, 1681-1690.

  16. Inoue, A., and L. Kilian (2006) ~On the selection of forecasting models, Journal of Econometrics, 130, 273-306.

  17. Kaufmann, H. (1987) ~Regression models for nonstationary categorical time series: Asymptotic estimation theory, Annals of Statistics, 15, 79-98.

  18. Kedem, B. (1980), ~Binary time series, Dekker, New York.
    Paper not yet in RePEc: Add citation now
  19. Keenan, D. M. (1982), ~A time series analysis of binary data, Journal of American Statistical Association, 77, 816-821.
    Paper not yet in RePEc: Add citation now
  20. McConnell, M. M., and G. Perez-Quiros (2000) ~Output fluctuations in the United States: what has changed since the early 1980s, American Economic Review, 90, 1464-1476.

  21. Monahan, J. F. (1984) ~A note on enforcing stationarity in autoregressive-moving average models, Biometrica, 71, 403-404.
    Paper not yet in RePEc: Add citation now
  22. Newey, W. K., and K. D. West (1994) ~Automatic lag selection in covariance matrix estimation, Review of Economic Studies, 61, 631-653.

  23. Rydberg, T. H., and N. Shephard (2003) ~Dynamics of trade-by-trade price movements: decomposition and models, Journal of Financial Econometrics, 1, 2-25.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A quantile regression analysis of flights-to-safety with implied volatilities. (2019). Troster, Victor ; Bouri, Elie ; Roubaud, David.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:62:y:2019:i:c:p:482-495.

    Full description at Econpapers || Download paper

  2. Testing parameter constancy in stationary vector autoregressive models against continuous change. (2004). Teräsvirta, Timo ; Gonzalez, Andres ; He, Changli.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0507.

    Full description at Econpapers || Download paper

  3. Empirical Analysis of Policy Interventions. (2002). Zha, Tao ; Leeper, Eric.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9063.

    Full description at Econpapers || Download paper

  4. Exchange Rate Pass-Through into Import Prices: A Macro or Micro Phenomenon?. (2002). Goldberg, Linda ; Campa, Jose.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8934.

    Full description at Econpapers || Download paper

  5. Inventory dynamics and business cycles: what has changed?. (2002). Zakrajsek, Egon ; McCarthy, Jonathan.
    In: Staff Reports.
    RePEc:fip:fednsr:156.

    Full description at Econpapers || Download paper

  6. Exchange rate pass-through into import prices: a macro or micro phenomenon?. (2002). Goldberg, Linda ; Campa, Jose.
    In: Staff Reports.
    RePEc:fip:fednsr:149.

    Full description at Econpapers || Download paper

  7. Assessing changes in the monetary transmission mechanism: a VAR approach. (2002). Giannoni, Marc ; Boivin, Jean.
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2002:i:may:p:97-111:n:v.8no.1.

    Full description at Econpapers || Download paper

  8. Empirical analysis of policy interventions. (2002). Zha, Tao ; Leeper, Eric.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2002:i:mar:x:1.

    Full description at Econpapers || Download paper

  9. Differences in exchange rate pass-through in the euro area.. (2002). Campa, Jose ; Gonzalez, Jose M..
    In: IESE Research Papers.
    RePEc:ebg:iesewp:d-0479.

    Full description at Econpapers || Download paper

  10. Demand Systems With Nonstationary Prices. (2002). Ng, Serena ; Lewbel, Arthur.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:441.

    Full description at Econpapers || Download paper

  11. Inflation Changes, Yield Spreads, and Threshold Effects. (2002). Tkacz, Greg.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-40.

    Full description at Econpapers || Download paper

  12. Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data. (2001). LE BIHAN, Hervé ; Jondeau, Eric.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0111005.

    Full description at Econpapers || Download paper

  13. Prices, Wages and the U.S. NAIRU in the 1990s. (2001). Watson, Mark ; Staiger, Doug ; Stock, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8320.

    Full description at Econpapers || Download paper

  14. The Empirical Relevance of Simple Forward- and Backward-looking Models: A View from a Dynamic General Equilibrium Model. (2001). Lindé, Jesper ; Linde, Jesper.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0130.

    Full description at Econpapers || Download paper

  15. MODELING THE DIVIDEND-PRICE RATIO: THE ROLE OF FUNDAMENTALS USING A REGIME-SWITCHING APPROACH. (2001). Olesen, Jan Overgaard ; Nielsen, Steen .
    In: Working Papers.
    RePEc:hhs:cbsnow:2000_012.

    Full description at Econpapers || Download paper

  16. Structural change in U.S. wage determination. (2001). Rich, Robert ; Rissmiller, Donald.
    In: Staff Reports.
    RePEc:fip:fednsr:117.

    Full description at Econpapers || Download paper

  17. Information technology and the U.S. productivity revival: what do the industry data say?. (2001). Stiroh, Kevin.
    In: Staff Reports.
    RePEc:fip:fednsr:115.

    Full description at Econpapers || Download paper

  18. Anticipations of monetary policy in financial markets. (2001). Sack, Brian ; Whitesell, William ; Lange, Joe.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-24.

    Full description at Econpapers || Download paper

  19. Testing for Structural Change in the Presence of Auxiliary Models. (2001). Guay, Alain ; Ghysels, Eric.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:133.

    Full description at Econpapers || Download paper

  20. Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?. (2000). Nelson, Charles ; Morley, James ; Kim, Chang-Jin.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0011.

    Full description at Econpapers || Download paper

  21. Measuring Systematic Monetary Policy. (2000). Jorda, Oscar ; Hoover, Kevin.
    In: Department of Economics.
    RePEc:fth:caldec:00-05.

    Full description at Econpapers || Download paper

  22. Is money useful in the conduct of monetary policy?. (2000). Santucci, Larry ; Lantz, Carl D. ; Dotsey, Michael.
    In: Economic Quarterly.
    RePEc:fip:fedreq:y:2000:i:fall:p:23-48.

    Full description at Econpapers || Download paper

  23. How stable is the predictive power of the yield curve? evidence from Germany and the United States. (2000). Rodrigues, Anthony ; Estrella, Arturo ; Schich, Sebastian.
    In: Staff Reports.
    RePEc:fip:fednsr:113.

    Full description at Econpapers || Download paper

  24. Inference on the Quantile Regression Process. (2000). Koenker, Roger.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0886.

    Full description at Econpapers || Download paper

  25. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (2000). McCracken, Michael ; Clark, Todd.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0319.

    Full description at Econpapers || Download paper

  26. A Time Series Model of Multiple Structural changes in Level, Trend and Variance. (1999). Zivot, Eric ; Wang, Jiahui.
    In: Econometrics.
    RePEc:wpa:wuwpem:9903002.

    Full description at Econpapers || Download paper

  27. Specification Search and Stability Analysis. (1999). Hoyo, del J. ; Llorente, Guillermo J..
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:642.

    Full description at Econpapers || Download paper

  28. Are Deep Parameters Stable? The Lucas Critique as an Empirical Hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:621.

    Full description at Econpapers || Download paper

  29. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. (1999). McCracken, Michael ; Clark, Todd.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:1241.

    Full description at Econpapers || Download paper

  30. Testing for Structural Breaks in the Evaluation of Programs. (1999). Piehl, Anne ; AnthonyA. Braga, ; Cooper, Suzanne J. ; Kennedy, David M..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7226.

    Full description at Econpapers || Download paper

  31. Tests of equal forecast accuracy and encompassing for nested models. (1999). McCracken, Michael ; Clark, Todd.
    In: Research Working Paper.
    RePEc:fip:fedkrw:99-11.

    Full description at Econpapers || Download paper

  32. Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime. (1999). Hooker, Mark A..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-65.

    Full description at Econpapers || Download paper

  33. Are deep parameters stable? the Lucas critique as an empirical hypothesis. (1999). Fuhrer, Jeffrey ; Estrella, Arturo.
    In: Working Papers.
    RePEc:fip:fedbwp:99-4.

    Full description at Econpapers || Download paper

  34. Modest policy interventions. (1999). Zha, Tao ; Leeper, Eric.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:99-22.

    Full description at Econpapers || Download paper

  35. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

  36. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:61.

    Full description at Econpapers || Download paper

  37. Structural Change Tests for Simulated Method of Moments. (1998). Guay, Alain ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-19.

    Full description at Econpapers || Download paper

  38. Slowdowns and Meltdowns: Postwar Growth Evidence from 74 Countries. (1997). Papell, David ; Ben-David, Dan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6266.

    Full description at Econpapers || Download paper

  39. The bank lending channel of monetary policy transmission: evidence from a model of bank behavior that incorporates long-term customer relationships.. (1997). Gibson, Michael S..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:584.

    Full description at Econpapers || Download paper

  40. What Does the Bundesbank Target?. (1996). Mihov, Ilian ; Bernanke, Ben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5764.

    Full description at Econpapers || Download paper

  41. Moving endpoints and the internal consistency of agents ex ante forecasts. (1996). Tinsley, Peter ; Kozicki, Sharon.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-47.

    Full description at Econpapers || Download paper

  42. Structural Change and Asset Pricing in Emerging Markets. (1996). Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:96s-34.

    Full description at Econpapers || Download paper

  43. Modelling Federal Reserve Discount Policy. (1996). Baum, Christopher ; Karasulu, Meral .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:335.

    Full description at Econpapers || Download paper

  44. CHANGES IN THE INFLATION PROCESS IN CANADA: Evidence and Implications. (1995). Hostland, Doug.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9508001.

    Full description at Econpapers || Download paper

  45. Oil Prices and the Rise and Fall of the U.S. Real Exchange Rate. (1995). van Norden, Simon ; Amano, Robert.
    In: International Finance.
    RePEc:wpa:wuwpif:9502001.

    Full description at Econpapers || Download paper

  46. On Stable Factor Structures in the Pricing of Risk. (1995). Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-16.

    Full description at Econpapers || Download paper

  47. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models. (1995). Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-07.

    Full description at Econpapers || Download paper

  48. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-05.

    Full description at Econpapers || Download paper

  49. Moving Endpoints in Macrofinance. (). Tinsley, Peter ; Kozicki, Sharon.
    In: Computing in Economics and Finance 1996.
    RePEc:sce:scecf6:_058.

    Full description at Econpapers || Download paper

  50. Ex Post and Ex Ante Analysis of Provisional Data. (). Marcellino, Massimiliano ; Gallo, Giampiero.
    In: Working Papers.
    RePEc:igi:igierp:141.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-04 15:19:05 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.