Summary This paper proposes a dynamic bi-factor model with Markov switching which detects and predicts turning points of the German business cycle. It estimates simultaneously the composite leading indicator (CLI) and composite coincident indicator (CCI) together with corresponding probabilities...

This paper proposes a dynamic bi-factor model with Markov switching which detects and predicts turning points of the German business cycle. It estimates simultaneously the composite leading indicator (CLI) and composite coincident indicator (CCI) together with corresponding probabilities of a...