Mixed-frequency VAR models with Markov-switching dynamics

Maximo Camacho

Economics Letters, 2013, vol. 121, issue 3, 369-373

Abstract: This paper extends the Markov-switching vector autoregressive models to accommodate both the typical lack of synchronicity that characterizes the real-time daily flow of macroeconomic information and economic indicators sampled at different frequencies. The results of the empirical application suggest that the model is able to capture the features of the NBER business cycle chronology very accurately.

Keywords: Business cycles; Output growth; Time series (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:3:p:369-373

DOI: 10.1016/j.econlet.2013.09.010

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