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

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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

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