Displaying 1 result from an estimated 1 matches for "creditspread".
2011 Aug 26
0
out of sample predictions using a probit model
...k=12 means 12 months forward
#dates must be trimmed manually
recession.probModel <- glm(formula =
window(lag(recession.TS,k=12),start=c(1986,2)) ~
window(FEDFUNDS.TS,start=c(1986,2),end=c(2010,7))
+ window(sp500Ret.TS,end=c(2010,7))+
window(CurveSlope.TS,start=c(1986,2),end=c(2010,7))
+ window(CreditSpread.TS,start=c(1986,2),end=c(2010,7)) +
window(NAPM.TS,start=c(1986,2),end=c(2010,7))
+ window(MCOILWTI.TS,start=c(1986,2),end=c(2010,7))
, family=binomial(link="probit"))
predict(recession.probModel,window(full.TS,start=c(2010,8)),
type="response")
The GLM model works fine, but t...