dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Majumdar, Anandamayee
|
|
dc.contributor.author |
Miller, Stephen M.
|
|
dc.date.accessioned |
2016-04-18T05:55:53Z |
|
dc.date.issued |
2015-10 |
|
dc.description.abstract |
This article uses a small set of variables – real GDP, the inflation rate and
the short-term interest rate – and a rich set of models – atheoretical (time
series) and theoretical (structural), linear and nonlinear, as well as classical
and Bayesian models – to consider whether we could have predicted the
recent downturn of the US real GDP. Comparing the performance of the
models to the benchmark random-walk model by root mean-square errors,
the two structural (theoretical) models, especially the nonlinear model,
perform well on average across all forecast horizons in our ex post, out-ofsample
forecasts, although at specific forecast horizons certain nonlinear
atheoretical models perform the best. The nonlinear theoretical model also
dominates in our ex ante, out-of-sample forecast of the Great Recession,
suggesting that developing forward-looking, microfounded, nonlinear,
dynamic stochastic general equilibrium models of the economy may
prove crucial in forecasting turning points. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2017-04-30 |
|
dc.description.librarian |
hb2016 |
en_ZA |
dc.description.uri |
http://www.tandfonline.com/loi/raec20 |
en_ZA |
dc.identifier.citation |
Mehmet Balcilar, Rangan Gupta, Anandamayee Majumdar & Stephen M.Miller (2015) Was the recent downturn in US real GDP predictable?, Applied Economics, 47:28,2985-3007, DOI:10.1080/00036846.2015.1011317. |
en_ZA |
dc.identifier.issn |
0003-6846 (print) |
|
dc.identifier.issn |
1466-4283 (online) |
|
dc.identifier.other |
10.1080/00036846.2015.1011317 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/52036 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Routledge |
en_ZA |
dc.rights |
© 2015 Taylor and Francis. This is an electronic version of an article published in Applied Economics, vol. 47, no. 28, pp. 2985-3007, 2015. doi : 10.1080/00036846.2015.1011317. Applied Economics is available online at : http://www.tandfonline.comloi/raec20. |
en_ZA |
dc.subject |
Forecasting |
en_ZA |
dc.subject |
Linear and nonlinear models |
en_ZA |
dc.subject |
Time series and structural models |
en_ZA |
dc.subject |
Great recession |
en_ZA |
dc.title |
Was the recent downturn in US real GDP predictable? |
en_ZA |
dc.type |
Postprint Article |
en_ZA |