Out-of-Sample Performance of Recession Probability Models

Posted: 9 Jul 2021

See all articles by Tyler Pike

Tyler Pike

affiliation not provided to SSRN

Francisco Vazquez-Grande

Board of Governors of the Federal Reserve System

Date Written: December, 2019

Abstract

This note discusses the out-of-sample (OOS) performance of several probit models used to assess the likelihood that the U.S. economy will be in a recession within the following year.

Suggested Citation

Pike, Tyler and Vazquez-Grande, Francisco, Out-of-Sample Performance of Recession Probability Models (December, 2019). FEDS Notes No. 2019-12-13-1, Available at SSRN: https://ssrn.com/abstract=3881617 or http://dx.doi.org/10.17016/2380-7172.2454

Tyler Pike (Contact Author)

affiliation not provided to SSRN

No Address Available

Francisco Vazquez-Grande

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-973-7488 (Phone)

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