Mixed-frequency VAR models with Markov-switching dynamics |
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Authors: | Maximo Camacho |
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Affiliation: | Departamento de Métodos Cuantitativos para la Economía y la Empresa, Facultad de Economía y Empresa, Campus de Espinardo, 30100 Universidad de Murcia, Spain |
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Abstract: | This paper extends the Markov-switching vector autoregressive models to accommodate both the typical lack of synchronicity that characterizes the real-time daily flow of macroeconomic information and economic indicators sampled at different frequencies. The results of the empirical application suggest that the model is able to capture the features of the NBER business cycle chronology very accurately. |
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Keywords: | E32 C22 E27 |
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