Markov-Switching Common Dynamic Factor Model with Mixed-Frequency Data
AbstractIn this paper, we consider a coincident economic indicator model with regime-switching dynamics and with the time series observed at different frequencies, for instance, at monthly and quarterly frequencies. Until now the only solution was to drop the lower frequency series and to estimate the model based only on the higher frequency series. This approach leads to the significant information losses. We propose an approach allowing to overcome this problem and to estimate a nonlinear dynamic common factor with the missing observations taking advantage of all the information available.
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Bibliographic InfoPaper provided by Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) in its series Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) with number 2001020.
Date of creation: 01 Sep 2001
Date of revision:
Common dynamic factor; Markov switching; Mixed frequency data; Kalman filter; Composite economic indicator;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-02-10 (All new papers)
- NEP-ECM-2002-02-14 (Econometrics)
- NEP-ETS-2002-02-10 (Econometric Time Series)
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- repec:ebl:ecbull:v:3:y:2002:i:20:p:1-20 is not listed on IDEAS
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