Markov-Switching Dynamic Factor Models in Real Time

We extend the Markov-switching dynamic factor model to account for some of the specifi cities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefi ts of this extension and corroborate the results through several Monte Carlo simulations. Finally, we assess its empirical reliability to compute real-time inferences of the US business cycle

MoreLess

Year of publication:	2012
Authors:	Camacho, Maximo
Other Persons:	Pérez-Quirós, Gabriel (contributor) ; Poncela, Pilar (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Markov-Kette \| Markov chain \| Faktorenanalyse \| Factor analysis \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation \| Prognoseverfahren \| Forecasting model \| Frühindikator \| Leading indicator \| Dynamische Wirtschaftstheorie \| Economic dynamics \| Konjunktur \| Business cycle \| EU-Staaten \| EU countries

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (55 p)
Series:	Banco de Espana Working Paper ; No. 1205
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 10, 2012 erstellt
Other identifiers:	10.2139/ssrn.2002667 [DOI]
Classification:	E32 - Business Fluctuations; Cycles ; C22 - Time-Series Models ; E27 - Forecasting and Simulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013110914