Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Qual-VAR 

Working Paper
Binary Conditional Forecasts

While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements from the literature on the construction and implementation of conditional forecasts with the literature on forecasting binary variables. We use the Qual-VAR [Dueker (2005)], whose joint VAR-probit structure allows us to form conditional forecasts of the latent variable which can then be used to form probabilistic forecasts of the binary variable. We apply ...
Working Papers , Paper 2019-29

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Jel Classification

C22 1 items

C52 1 items

C53 1 items

FILTER BY Keywords

PREVIOUS / NEXT