Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies
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- Konstantin A. Kholodilin, 2007. "Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies," Money Macro and Finance (MMF) Research Group Conference 2006 13, Money Macro and Finance Research Group.
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- repec:ebl:ecbull:v:3:y:2002:i:26:p:1-18 is not listed on IDEAS
- Kholodilin, Konstantin A. & Yao, Vincent W., 2005. "Measuring and predicting turning points using a dynamic bi-factor model," International Journal of Forecasting, Elsevier, vol. 21(3), pages 525-537.
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- Konstantin A. Kholodilin & Erik Klär, 2007. "Dem Konjunkturzyklus auf der Spur: zur Prognose konjunktureller Wendepunkte in Deutschland," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 76(4), pages 8-20.
More about this item
KeywordsForecasting turning points; Composite coincident indicator; Composite leading indicator; Dynamic bi-factor model; Markov switching;
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2006-02-26 (Econometrics)
- NEP-EEC-2006-02-26 (European Economics)
- NEP-ETS-2006-02-26 (Econometric Time Series)
- NEP-MAC-2006-02-26 (Macroeconomics)
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