This paper sets up a common unobserved factor model with smooth transition autoregressive dynamics. This model is compared to the already classical common factor model with regime-switching. Both models' in-sample and out-of-sample performance in terms of capturing and predicting the business...

This paper sets up a common unobserved factor model with smooth transition autoregressive dynamics. This model is compared to the already classical common factor model with regime-switching. Both models' in-sample and out-of-sample performance in terms of capturing and predicting the business...

This paper sets up a common unobserved factor model with smooth transition autoregressive dynamics. This model is compared to the already classical common factor model with regime-switching. Both models' in-sample and out-of-sample performance in terms of capturing and predicting the business...

The paper treats the issue of the decreasing volatility of the U.S. economy which has been observed since the mid-1980s. As a measure of volatility the residual variance of a composite economic indicator is used. This indicator is constructed as a common dynamic factor with Markov switching and...

The paper treats the issue of the decreasing volatility of the U.S. economy which has been observed since the mid-1980s. As a measure of volatility the residual variance of a composite economic indicator is used. This indicator is constructed as a common dynamic factor with Markov switching and...