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Bivariate CGBCR Final by coniglio1 is a document available to read on EtoBox.

What is Bivariate CGBCR Final about?

The document proposes a new bivariate autoregressive probit model to jointly predict the current state of the U.S. business cycle and growth rate cycle. It shows that the bivariate model outperforms univariate models built for each cycle individually. Financial variables like changes in the Federal funds rate and stock market returns can predict recessions in both cycles. The model represents an extension of previous univariate time series models for binary variables to the multivariate case.

Author

coniglio1

Language

EN