Consistent Covariance Matrix Estimation in Probit Models with Autocorrelated Errors

Estrella, Arturo; Rodrigues, Anthony P.

doi:10.2139/ssrn.940655

Cited by 32 publications

(22 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Nevertheless, the use of overlapping forecast horizon in the multiperiod forecasting or an incorrect model specification indicates that the standard errors based on the asymptotic distribution (10) become inconsistent (Estrella and Rodrigues, 1998). The asymptotic distribution of the maximum likelihood estimate in the case of a misspecified model is…”

Section: Dynamic Probit Modelsmentioning

confidence: 99%

Dynamic probit models and financial variables in recession forecasting

Nyberg

2009

Journal of Forecasting

128

119

View full text Add to dashboard Cite

In this paper various financial variables are examined as predictors in new dynamic probit models to predict the probability of a recession in the United States and Germany. Following the findings of previous studies, the domestic term spread proved to be an important predictive variable, but several lagged values of stock returns and the foreign term spread are also statistically significant predictive variables for both countries. The interest rate differential between the U.S. and Germany is also a useful predictor in the case of Germany. Examined dynamic probit models outperform the traditional static model giving accurate out-of-sample forecasts for the latest recession period that began in both countries in 2001.JEL Classification: C22, C25, E32, E37

show abstract

Section: Dynamic Probit Modelsmentioning

confidence: 99%

Dynamic probit models and financial variables in recession forecasting

Nyberg

2009

Journal of Forecasting

128

119

View full text Add to dashboard Cite

show abstract

“…For the DCI, there is no such forecast period because of its expected function of coincidence. For the DLI, standard errors are corrected for autocorrelations in errors arising from overlapping of forecast periods, using the method of Estrella and Rodrigues (1998). The results indicate that the DLI and the DCI are significant at the conventional level in all cases.…”

Section: Empirical Results: the DLI And The Dcimentioning

confidence: 97%

Forecasts Based on Official Business Indices in Japan: A Real-Time Analysis

Ikeno

2004

JJSS

View full text Add to dashboard Cite

This paper analyses the performance of forecasts of real economic activity based on the Japanese official business indices in a real-time framework. As in other countries, preliminary numbers of the business indices are first announced, then they are revised. These revisions are often substantial, so that the business indices that are available on a real-time basis often differ from their revised form. This paper explores how this difference can affect forecasts. Results indicate that real-time forecasts based on the diffusion leading index are not significantly worse than forecasts based on the final revised form. Also, the real-time forecasts using the composite leading index are often comparable to those from final revised forms. However, real-time forecasts from the diffusion coincident index are significantly worse than forecasts that use the final revised form.Key words and phrases: business index, probit model, real-time forecast IntroductionThis work examines real-time forecasts which are based on the official business indices in Japan. These official business indices, called "Keiki Doko Shisu" in Japanese, were formerly compiled by the Economic Planning Agency (EPA), and are currently compiled by the Economic and Social Research Institute (ESRI) in the Cabinet Office. Since promptness is regarded as important, the indices are first announced in a preliminary form, then they are revised; revisions are carried out repeatedly. Is there a significant difference between forecasts based on the revised and the real-time indices? This paper compares revised and realtime forecasts and evaluates how much they differ. However good the forecasts based on the final revised form are, if forecasts based on business indices that are available in real-time are unsatisfactory, then usefulness of these indices is limited from a practical point of view.The same question over preliminary and revised numbers applies to other countries as well as Japan. Diebold and Rudebusch (1991a) show that realtime forecasts of production increase in the US based on leading business indices are hardly useful, though forecasts based on ex-post revised numbers perform satisfactorily. Diebold and Rudebusch (1991b) show similar results in regard to turning points of the business cycle in the US.There are already many studies on the performance of the official business indices in Japan, but they use business indices that are revised many times and

show abstract

“…6(4), [100][101][102][103][104][105][106][107][108][109]2017 Under the assumption that the EPU indexes increase by one standard deviation at h = 0, Figure 2 plots the estimated marginal effects of the EPU indexes on the recession probability, along with the 95% confidence bands, from h = 1 to h = 60. The robust standard errors developed by Estrella and Rodrigues (1998) are used to compute the confidence bands. The marginal effects of the overall EPU index are positive and statistically significant from h = 1 to h = 5.…”

Section: Resultsmentioning

confidence: 99%

“…Many fit measures have been proposed for probit and other binary choice models. In this paper, we use the so-called pseudo 2 developed by and Estrella and Rodrigues (1998):…”

Section: Methodsmentioning

confidence: 99%

Forecasting US recession with the economic policy uncertainty indexes of policy categories

Kurasawa

2018

Econ Bus Lett

View full text Add to dashboard Cite

Uncertainty about the future affects economic decisions today since there is an option value to postpone economic decisions. Using the economic policy uncertainty (EPU) indexes of policy categories developed by Baker et al. (2016), this study estimates the probit model to predict the recession probability in the United States, and quantifies the relative significance of the category-specific EPU indexes. The EPU index of national security is found relatively useful as predictors of recession. This category-specific measure of uncertainty provides information about the occurrence of recession that the other variables do not contain.

show abstract

Consistent Covariance Matrix Estimation in Probit Models with Autocorrelated Errors

Cited by 32 publications

References 17 publications

Dynamic probit models and financial variables in recession forecasting

Dynamic probit models and financial variables in recession forecasting

Forecasts Based on Official Business Indices in Japan: A Real-Time Analysis

Forecasting US recession with the economic policy uncertainty indexes of policy categories

Contact Info

Product

Resources

About