Markov-switching dynamic factor models in real time
AbstractWe 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.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 8866.
Date of creation: Feb 2012
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Other versions of this item:
- Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2012. "Markov-switching dynamic factor models in real time," Banco de Espaï¿½a Working Papers 1205, Banco de Espa�a.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-28 (All new papers)
- NEP-BEC-2012-03-28 (Business Economics)
- NEP-ECM-2012-03-28 (Econometrics)
- NEP-ETS-2012-03-28 (Econometric Time Series)
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- A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
- Gabriel Pérez-Quiros & Maximo Camacho & Pilar Poncela, 2010. "Green Shoots? Where, when and how?," Working Papers 2010-04, FEDEA.
- Pilar Poncela & Esther Ruiz, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," Statistics and Econometrics Working Papers ws122317, Universidad Carlos III, Departamento de Estadística y Econometría.
- Marcos Dal Bianco & Jaime Martinez-MartÃn & Maximo Camacho, 2013. "Short-Run Forecasting of Argentine GDP Growth," Working Papers 1314, BBVA Bank, Economic Research Department.
- Buss, Ginters, 2010. "A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle," MPRA Paper 22147, University Library of Munich, Germany.
- Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
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