| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8866 |
| DP8866 Markov-switching dynamic factor models in real time | |
| Gabriel Pérez-Quirós; Pilar Poncela; Máximo Camacho | |
| 发表日期 | 2012-02-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Business cycles Output growth Time series |
| URL | https://cepr.org/publications/dp8866 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537689 |
| 推荐引用方式 GB/T 7714 | Gabriel Pérez-Quirós,Pilar Poncela,Máximo Camacho. DP8866 Markov-switching dynamic factor models in real time. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
