Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/31431
Title: Forecasting the probability of US recessions : a probit and dynamic factor modelling approach
Authors: Chen, Z
Iqbal, A
Lai, H 
Issue Date: 2011
Publisher: Wiley-Blackwell
Source: Canadian journal of economics, 2011, v. 44, no. 2, p. 651-672 How to cite?
Journal: Canadian journal of economics 
Abstract: Quantifying the probability of U.S. recessions has become increasingly important since August 2007. In a data-rich environment, this paper is the first to apply a Probit model to common factors extracted from a large set of explanatory variables to model and forecast recession probability. The results show the advantages of the proposed approach over many existing models. Simulated real-time analysis captures all recessions since 1980. The proposed model also detects a significant jump in the next six-month recession probability based on data up to November 2007, one year before the formal declaration of the recent recession by the NBER.
URI: http://hdl.handle.net/10397/31431
ISSN: 0008-4085
EISSN: 1540-5982
DOI: 10.1111/j.1540-5982.2011.01648.x
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