Markov-Switching Dynamic Factor Models in Real Time

55 Pages Posted: 12 Feb 2012

See all articles by Maximo Camacho

Maximo Camacho

Autonomous University of Barcelona - Department of Economics; Universidad de Murcia - Departamento de Metodos Cuantitativos

Gabriel Perez-Quiros

Banco de España

Pilar Poncela

Universidad Autónoma de Madrid

Multiple version iconThere are 2 versions of this paper

Date Written: February 10, 2012

Abstract

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.

Keywords: business cycles, output growth, time series

JEL Classification: E32, C22, E27

Suggested Citation

Camacho, Maximo and Perez-Quiros, Gabriel and Poncela, Pilar, Markov-Switching Dynamic Factor Models in Real Time (February 10, 2012). Banco de Espana Working Paper No. 1205, Available at SSRN: https://ssrn.com/abstract=2002667 or http://dx.doi.org/10.2139/ssrn.2002667

Maximo Camacho (Contact Author)

Autonomous University of Barcelona - Department of Economics ( email )

Avda. Diagonal 690
Barcelona, 08034
Spain

Universidad de Murcia - Departamento de Metodos Cuantitativos ( email )

Campus de Espinardo
30100 Murcia
Spain
+34 968 367 982 (Phone)

Gabriel Perez-Quiros

Banco de España ( email )

Madrid 28014
Spain

Pilar Poncela

Universidad Autónoma de Madrid ( email )

Campus Cantoblanco
C/Kelsen, 1
Madrid, Madrid 28049
Spain

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
176
Abstract Views
1,208
rank
187,839
PlumX Metrics