Artikel
Lizenziert
Nicht lizenziert
Erfordert eine Authentifizierung
The Current Depth-of-Recession and Unemployment-Rate Forecasts
-
Veröffentlicht/Copyright:
1. Januar 1998
Building upon Beaudry and Koop's (1993) analysis, we consider a "current depth of the recession" (CDR) variable in modeling the time-series behavior of the postwar quarterly U.S. unemployment rate. The CDR approach is consistent with the state-dependent behavior in the unemployment rate documented in the business-cycle asymmetry literature. We show that while the CDR effect is significant in-sample, no statistically significant out-of-sample forecast improvement is obtained relative to the linear alternative. Augmenting an AR(2) model by inclusion of the CDR term, however, does not significantly worsen the out-of-sample forecast performance.
Published Online: 1998-1-1
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
Sie haben derzeit keinen Zugang zu diesem Inhalt.
Sie haben derzeit keinen Zugang zu diesem Inhalt.
Artikel in diesem Heft
- Article
- Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
- Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules
- Early News is Good News: The Effects of Market Opening on Market Volatility
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- The Current Depth-of-Recession and Unemployment-Rate Forecasts
- Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
Schlagwörter für diesen Artikel
nonlinearity;
business cycle asymmetry;
depth of recession;
forecasting
Artikel in diesem Heft
- Article
- Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
- Forecasting Exchange Rates Using Neural Networks for Technical Trading Rules
- Early News is Good News: The Effects of Market Opening on Market Volatility
- GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
- The Current Depth-of-Recession and Unemployment-Rate Forecasts
- Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets
