全球智库信息集成服务系统(G2TT): DP9313 Macroeconomic forecasting during the Great Recession: The return of non-linearity?

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP9313
	DP9313 Macroeconomic forecasting during the Great Recession: The return of non-linearity?
	Massimiliano Marcellino; Laurent Ferrara; Matteo Mogliani
发表日期	2013-01-27
出版年	2013
语种	英语
摘要	The debate on the forecasting ability of non-linear models has a long history, and the Great Recession episode provides us with an interesting opportunity for a reassessment of the forecasting performance of several classes of non-linear models. We conduct an extensive analysis over a large quarterly database consisting of major macroeconomic variables for a large panel of countries. It turns out that, on average, non-linear models cannot outperform standard linear specifications, even during the Great Recession. However, non-linear models lead to an improvement of the predictive accuracy in almost 40% of cases, and interesting specific patterns emerge among models, variables and countries. These results suggest that this specific episode seems to be characterized by a sequence of shocks with unusual large magnitude, rather than by an increase in the degree of non-linearity of the stochastic processes underlying the main macroeconomic time series.
主题	International Macroeconomics
关键词	Great recession Macroeconomic forecasting Non-linear models
URL	https://cepr.org/publications/dp9313
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/538149
推荐引用方式 GB/T 7714	Massimiliano Marcellino,Laurent Ferrara,Matteo Mogliani. DP9313 Macroeconomic forecasting during the Great Recession: The return of non-linearity?. 2013.