Markov-Switching Dynamic Factor Models in Real Time
51 Pages Posted: 1 Mar 2012
There are 2 versions of this paper
Markov-Switching Dynamic Factor Models in Real Time
Date Written: February 2012
Abstract
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.
Keywords: Business Cycles, Output Growth, Time Series
JEL Classification: C22, E27, E32
Suggested Citation: Suggested Citation
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