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https://doi.org/10.1016/j.ijforecast.2018.05.002
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Título: | Markov-switching dynamic factor models in real time |
Fecha de publicación: | 2018 |
Cita bibliográfica: | International Journal of Forecasting 34 (4). Pags. 598-611 |
ISSN: | Print: 0169-2070 |
Materias relacionadas: | CDU::3 - Ciencias sociales |
Palabras clave: | Business Cycles Output Growth Time Series |
Resumen: | 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 mixed sampling frequencies and ragged-edge data. First, we evaluate the theoretical gains of using data that are available promptly for computing probabilities of recession in real time. Second, we show how to estimate the model that deals with unbalanced panels of data and mixed frequencies, and examine the benefits of this extension through several Monte Carlo simulations. Finally, we assess its empirical reliability for the computation of real-time inferences of the US business cycle, and compare it with the alternative method of forecasting the probabilities of recession from balanced panels. |
Autor/es principal/es: | Camacho, Maximo Perez-Quiros, Gabriel Poncela, Pilar |
Facultad/Departamentos/Servicios: | Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU::Facultades, Departamentos, Servicios y Escuelas::Departamentos de la UMU Métodos Cuantitativos para la Economía y la Empresa |
Versión del editor: | https://www.sciencedirect.com/science/article/pii/S0169207018300773 |
URI: | http://hdl.handle.net/10201/137204 |
DOI: | https://doi.org/10.1016/j.ijforecast.2018.05.002 |
Tipo de documento: | info:eu-repo/semantics/article |
Número páginas / Extensión: | 33 |
Derechos: | info:eu-repo/semantics/openAccess Attribution-NonCommercial-NoDerivatives 4.0 Internacional |
Descripción: | © 2018. This document is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ This document is the submitted version of a published work that appeared in final form in International Journal of Forecasting. |
Aparece en las colecciones: | Artículos: Métodos Cuantitativos para la Economía y la Empresa |
Ficheros en este ítem:
Fichero | Descripción | Tamaño | Formato | |
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MSDFM_ragged.pdf | 333,46 kB | Adobe PDF | Visualizar/Abrir |
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