Out-of-Sample Performance of Recession Probability Models
Posted: 19 Dec 2019
Date Written: December 13, 2019
Abstract
This note discusses the out-of-sample (OOS) performance of several probit models used to assess the likelihood that the U.S. economy will be in a recession within the following year.
Suggested Citation: Suggested Citation
Pike, Tyler and Vazquez-Grande, Francisco, Out-of-Sample Performance of Recession Probability Models (December 13, 2019). FEDS Notes No. 2019-12-13-1 https://doi.org/10.17016/2380-7172.2454, Available at SSRN: https://ssrn.com/abstract=3595648
Tyler Pike
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
Francisco Vazquez-Grande (Contact Author)
Board of Governors of the Federal Reserve System ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-973-7488 (Phone)
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.