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

13 Pages Posted: 23 Feb 2010

Date Written: February 14, 2010

Abstract

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

JEL Classification: C13, C22, C32, C51, C52, C53

Suggested Citation

Buss, Ginters, Forecasts with Single-Equation Markov-Switching Model: An Application to the Gross Domestic Product of Latvia (February 14, 2010). Available at SSRN: https://ssrn.com/abstract=1556923 or http://dx.doi.org/10.2139/ssrn.1556923

Ginters Buss (Contact Author)

Bank of Latvia ( email )

Riga, 1050
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
57
Abstract Views
463
Rank
659,215
PlumX Metrics