Timeline for Constructing a naive recession forecast
Current License: CC BY-SA 3.0
3 events
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| Sep 12, 2011 at 16:07 | comment | added | Ram Ahluwalia | There is a well-known economic factor model called the BIRR model : www.birr.com/BIRR_Risk_Model.pdf . They are not forecasting recession (they focus on the equity risk premia) however you might find their approach instructive. Several of the variables I suggested are from that model. | |
| Sep 12, 2011 at 15:22 | comment | added | Zach |
That's what I did in my example. model <- glm(USREC~GDPC1,family=binomial(link = "logit"),Data). I'll add the yield curve, stock market returns, interest rates, and credit spreads as variables
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| Sep 9, 2011 at 23:03 | history | answered | Ram Ahluwalia | CC BY-SA 3.0 |