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Out-of-Sample Performance of Recession Probability Models Accessible Data

Figure 1: Out-of-sample probit ROC curves

The top panel plots the ROC for three univariate models with EBP, TS, and NTFS as predictors; it shows that the model with the EBP dominates the term spread models. The bottom panel displays the ROC for two bivariate models with term spreads and the EBP as predictors and suggests there is no significant difference in terms of OOS performance between these two models.

Note: The top panel shows the ROC curve for the univariate probit models with TS, EBP, and NTFS as independent variables. The bottom panel shows ROC curves for the bivariate probit models with EBP and TS, and EBP and NTFS as independent variables.

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Last Update: December 13, 2019

Accessible Version

Out-of-Sample Performance of Recession Probability Models Accessible Data

Figure 1: Out-of-sample probit ROC curves