Forecasting GDP over the business cycle in a multi-frequency and data-rich environment
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- Marie Bessec & Othman Bouabdallah, 2015. "Forecasting GDP over the Business Cycle in a Multi-Frequency and Data-Rich Environment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(3), pages 360-384, June.
- Marie Bessec & Othman Bouabdallah, 2015. "Forecasting GDP over the business cycle in a multi-frequency and data-rich environment," Post-Print hal-01275760, HAL.
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Cited by:
- Catherine Doz & Anna Petronevich, 2015.
"Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach,"
Documents de travail du Centre d'Economie de la Sorbonne
15009, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Catherine Doz & Anna Petronevich, 2015. "Dating Business Cycle Turning Points for the French Economy: a MS-DFM approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01159200, HAL.
- Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
- Marie Bessec, 2016. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Working Papers hal-01358595, HAL.
- Fady Barsoum, 2015. "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz 2015-19, Department of Economics, University of Konstanz.
- Catherine Doz & Anna Petronevich, 2017. "On the consistency of the two-step estimates of the MS-DFM: a Monte Carlo study," PSE Working Papers halshs-01592863, HAL.
More about this item
Keywords
Markov-Switching; factor models; mixed frequency data; GDP forecasting.;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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