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dc.contributor.authorFERRARA, Laurent
dc.contributor.authorMARCELLINO, Massimiliano 
dc.contributor.authorMOGLIANI, Matteo
dc.date.accessioned2016-03-11T16:52:43Z
dc.date.available2016-03-11T16:52:43Z
dc.date.issued2012
dc.identifier.urihttp://hdl.handle.net/1814/39907
dc.description.abstractThe debate on the forecasting ability of non-linear models has a long history, and the Great Recession episode provides us with an interesting opportunity for a reassessment of the forecasting performance of several classes of non-linear models. We conduct an extensive analysis over a large quarterly database consisting of major macroeconomic variables for a large panel of countries. It turns out that, on average, non-linear models cannot outperform standard linear specifications, even during the Great Recession. However, non-linear models lead to an improvement of the predictive accuracy in almost 40% of cases, and interesting specific patterns emerge among models, variables and countries. These results suggest that this specific episode seems to be characterized by a sequence of shocks with unusual large magnitude, rather than by an increase in the degree of non-linearity of the stochastic processes underlying the main macroeconomic time series.
dc.language.isoen
dc.relation.ispartofseriesBank of France Working Paper
dc.relation.ispartofseries2012/383
dc.titleMacroeconomic forecasting during the Great Recession : The return of non-linearity?
dc.typeWorking Paper


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