Mixed-frequency VAR models with Markov-switching dynamics

This paper extends the Markov-switching vector autoregressive models to accommodate both the typical lack of synchronicity that characterizes the real-time daily flow of macroeconomic information and economic indicators sampled at different frequencies. The results of the empirical application suggest that the model is able to capture the features of the NBER business cycle chronology very accurately.

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Year of publication:	2013
Authors:	Camacho, Maximo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 3, p. 369-373
Publisher:	Elsevier
Subject:	Business cycles \| Output growth \| Time series

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Type of publication:	Article
Classification:	E32 - Business Fluctuations; Cycles ; C22 - Time-Series Models ; E27 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

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