Markov-switching dynamic factor models in real time

Maximo Camacho, Gabriel Perez-Quiros () and Pilar Poncela
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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
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Citations: View citations in EconPapers (25)

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Related works:
Journal Article: Markov-switching dynamic factor models in real time (2018)
Working Paper: Markov-switching dynamic factor models in real time (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1205

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