Giampiero MARRA, Rosalba RADICE, Estimation of a semiparametric recursive bivariate probit model in the presence of endogeneity, The Canadian Journal of Statistics / La Revue Canadienne de Statistique ...

In a data-rich environment, this paper is the first to apply a Probit model to common factors extracted from a large set of explanatory variables to model and forecast recession probability. The ...