Forecasts with Single-Equation Markov-Switching Model: an Application to the Gross Domestic Product of Latvia

8. Latvijas matemātikas konference : tēzes = 8th Latvian Mathematical Conference : Abstracts 2010
Ginters Bušs

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform slightly better than linear VAR models when no leading information is available. However, if reliable leading information is available, single-equation MS models tend to give somewhat less precise forecasts than linear VAR models.

Keywords
Markov-switching, VAR, forecasting, leading information

Bušs, G. Forecasts with Single-Equation Markov-Switching Model: an Application to the Gross Domestic Product of Latvia. In: 8. Latvijas matemātikas konference : tēzes = 8th Latvian Mathematical Conference : Abstracts, Latvia, Valmiera, 9-10 April, 2010. Rīga: Latvijas Matemātikas biedrība, 2010, pp.17-17. ISBN 978-9984-45-173-2.

Publication language
English (en)