Published in:Banco de Espana Working Paper ; No. 1205
Extent:
1 Online-Ressource (55 p)
Language:
English
DOI:
10.2139/ssrn.2002667
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 10, 2012 erstellt
Description:
We extend the Markov-switching dynamic factor model to account for some of the specifi cities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefi ts of this extension and corroborate the results through several Monte Carlo simulations. Finally, we assess its empirical reliability to compute real-time inferences of the US business cycle