Forecasts with Single-Equation Markov-Switching Model: an Application to the Gross Domestic Product of Latvia
Journal of Applied Economic Sciences 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.


Atslēgas vārdi
Markov-switching, VAR, forecasting, leading information
Hipersaite
http://www.jaes.reprograph.ro/articles/summer2010/Jaes_Summer_2010.pdf

Bušs, G. Forecasts with Single-Equation Markov-Switching Model: an Application to the Gross Domestic Product of Latvia. Journal of Applied Economic Sciences, 2010, Vol. 5, No. 2, 49.-59.lpp. ISSN 1843-6110.

Publikācijas valoda
English (en)
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