Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model
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More about this item
Keywords
Business cycles; generalized autoregressive score models; time-varying transition probabilities; turning points;All these keywords.
JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-09-28 (Econometrics)
- NEP-ETS-2020-09-28 (Econometric Time Series)
- NEP-MAC-2020-09-28 (Macroeconomics)
- NEP-ORE-2020-09-28 (Operations Research)
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