Early Warning Systems (EWS) are a toolbox for policymakers to prevent or attenuate the impact of economic downturns. Modern EWS are based on the econometric framework of Kauppi and Saikkonen (2008) <doi:10.1162/rest.90.4.777>. Specifically, this framework includes four dichotomous models, relying on a logit approach to model the relationship between yield spreads and future recessions, controlling for recession risk factors. These models can be estimated in a univariate or a balanced panel framework as in Candelon, Dumitrescu and Hurlin (2014) <doi:10.1016/j.ijforecast.2014.03.015>. This package provides both methods for estimating these models and a dataset covering 13 OECD countries over a period of 45 years. This package constitutes a useful toolbox (data and functions) for scholars as well as policymakers.
| Version: | 0.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | numDeriv |
| Published: | 2020-04-07 |
| Author: | Quentin Lajaunie [cre], Jean-Baptiste Hasse [aut] |
| Maintainer: | Quentin Lajaunie <quentin_lajaunie at hotmail.fr> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | EWS results |
| Reference manual: | EWS.pdf |
| Package source: | EWS_0.1.0.tar.gz |
| Windows binaries: | r-devel: EWS_0.1.0.zip, r-release: EWS_0.1.0.zip, r-oldrel: EWS_0.1.0.zip |
| macOS binaries: | r-release: EWS_0.1.0.tgz, r-oldrel: EWS_0.1.0.tgz |
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