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Corporate Bond Spreads and Real Activity in the Euro Area - Least Angle Regression Forecasting and the Probability of the Recession
2011
Social Science Research Network
Preserved Fulltext
Non technical summary 1 Introduction 2 Econometric methodology 2.1 The model suite 2.2 Least angle regression and recursive model building 2.3 Point and density forecasting and forecast evaluation 3 Data 4 In-sample analysis 4.1 Ranking based on bivariate models and LAR 4.2 Estimation results for selected LAR models 5 Out-of-sample analysis 5.1 Point and directional forecast accuracy 5.2 Density forecast accuracy 5.3 Rank variation over time 6 Model-implied probabilities of recession 7
doi:10.2139/ssrn.1734800
fatcat:naug6q7kjbewnmzawte75c7ro4