Dynamic Forecasts of Qualitative Variables
提出Qual VAR模型，将定性变量信息纳入向量自回归，实现定性变量的动态预测。以2001年经济衰退预测为例，该模型比专业预测者的静态预测更准确，并能改善系统中其他变量的密度预测质量。
AbstractThis 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, produce only static forecasts. I apply the Qual VAR to forecasting the 2001 business recession out of sample and to analyzing the Romer and Romer narrative measure of monetary policy contractions as an endogenous variable in a VAR. Out of sample, the model predicts the timing of the 2001 recession quite well relative to the recession probabilities put forth at the time by professional forecasters. Qual VARs—which include information about the qualitative variable—can also enhance the quality of density forecasts of the other variables in the system.KEY WORDS: Dummy endogenous variableDynamic probitRecession forecasting