Dynamic Forecasts of Qualitative Variables : A Qual VAR Model of U . S . Recessions August 2003

  title={Dynamic Forecasts of Qualitative Variables : A Qual VAR Model of U . S . Recessions August 2003},
  author={Michael J. Dueker},
This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using standard VAR projections. Previous forecasting methods for qualitative variables, in contrast, only produce static forecasts. I apply the Qual VAR to forecasting the 2001 business recession out of sample and to analyzing the Romer and Romer (1989) narrative… CONTINUE READING
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