Markov-switching dynamic factor models in real time

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

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Year of publication:	2012-02
Authors:	Camacho, Maximo ; Pérez-Quirós, Gabriel ; Poncela, Pilar
Institutions:	C.E.P.R. Discussion Papers
Subject:	Business Cycles \| Output Growth \| Time Series

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 8866
Classification:	C22 - Time-Series Models ; E27 - Forecasting and Simulation ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011083562