Markov-Switching Common Dynamic Factor Model with Mixed-Frequency Data
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References listed on IDEAS
- Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
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- repec:ebl:ecbull:v:3:y:2002:i:20:p:1-20 is not listed on IDEAS
- Paul Viefers, 2011. "Bayesian Inference for the Mixed-Frequency VAR Model," Discussion Papers of DIW Berlin 1172, DIW Berlin, German Institute for Economic Research.
More about this item
KeywordsCommon dynamic factor; Markov switching; Mixed frequency data; Kalman filter; Composite economic indicator;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
NEP fieldsThis 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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