Paper’s forecasting technique using Markov-switching models

Photo of the Bank of Spain
The Bank of Spain

A working paper published by the Bank of Spain presents a number of methods for averaging the predictive results of non-linear models, and applies them to data from the US.

In Model averaging in Markov-switching models: predicting national recessions with regional data, Pierre Guérin and Danilo Leiva-Leon introduce what they call “new weighting schemes to combine discrete forecasts from competing Markov-switching models”.

A large literature combines results from linear forecasting models, but

To continue reading...