Citation

Discussion Paper Details

Please find the details for DP8866 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Markov-switching dynamic factor models in real time

Author(s): Maximo Camacho, Gabriel Pérez-Quirós and Pilar Poncela

Publication Date: February 2012

Keyword(s): Business Cycles, Output Growth and Time Series

Programme Area(s): International Macroeconomics

Abstract: We extend the Markov-switching dynamic factor model to account for some of the specificities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefits of this extension and corroborate the results through several MonteCarlo simulations. Finally, we assess its empirical reliability to compute real-time inferences of the US business cycle.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=8866

Bibliographic Reference

Camacho, M, Pérez-Quirós, G and Poncela, P. 2012. 'Markov-switching dynamic factor models in real time'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=8866