Markov-switching dynamic factor models in real time
Maximo Camacho,
Gabriel Perez-Quiros () and
Pilar Poncela
Additional contact information
Gabriel Perez-Quiros: Banco de España and CEPR
Authors registered in the RePEc Author Service: Gabriel Perez Quiros
No 1205, Working Papers from Banco de España
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 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 (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 55 pages
Date: 2012-02
New Economics Papers: this item is included in nep-bec, nep-ets and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (25)
Downloads: (external link)
http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... /12/Fich/dt1205e.pdf First version, Febrary 2012 (application/pdf)
Related works:
Journal Article: Markov-switching dynamic factor models in real time (2018) 
Working Paper: Markov-switching dynamic factor models in real time (2012) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1205
Access Statistics for this paper
More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().