Heikki Kauppi
Biographic Data
| ID | 8880265 |
|---|---|
| NAME | Heikki Kauppi |
| GIVEN NAMES | Heikki |
| FAMILY NAME | Kauppi |
| SIGNATURE | KAUPPI H |
| AFFILIATIONS | University of Turku |
| ORCID | 0000-0002-4115-102X |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2008 |
| LATEST PUBLICATION YEAR | 2008 |
| H-INDEX | 0 |
Predicting U.S. Recessions with Dynamic Binary Response Models
We develop dynamic binary probit models and apply them for predicting U.S. recessions using the interest rate spread as the driving predictor. The new models use lags of the binary response (a recession dummy) to forecast its future values and allow for the potential forecast power of lags of the underlying conditional probability. We show how multiperiod-ahead forecasts are computed iteratively using the same one-period-ahead model. Iterated for…
No prominent works on this page.
Predicting U.S. Recessions with Dynamic Binary Response Models
We develop dynamic binary probit models and apply them for predicting U.S. recessions using the interest rate spread as the driving predictor. The new models use lags of the binary response (a recession dummy) to forecast its future values and allow for the potential forecast power of lags of the underlying conditional probability. We show how multiperiod-ahead forecasts are computed iteratively using the same one-period-ahead model. Iterated for…
Binary number (1 work) · Computer Science (1 work) · Consensus forecast (1 work) · Econometrics (1 work) · Economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Global Financial Crisis and Policies (1 work) · Iterated function (1 work) · Keynesian economics (1 work) · Mathematics (1 work)