Mixing mixed frequency and diffusion indices in good times and in bad: an assessment based on historical data around the great recession of 2008
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DOI: 10.1007/s00181-022-02289-3
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More about this item
Keywords
Forecasting; Diffusion index; Mixed frequency data; Factor model; Recursive estimation; Kalman filter;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Statistics
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