Mixed-frequency VAR models with Markov-switching dynamics

被引：12
|
作者：
Camacho, Maximo [1 ]
机构：
[1] Univ Murcia, Fac Econ & Empresa, Dept Metodos Cuantitat Econ & Empresa, Murcia 30100, Spain
来源：
ECONOMICS LETTERS | 2013年 / 121卷 / 03期
关键词：
Business cycles; Output growth; Time series; LEADING INDICATORS LEAD; COINCIDENT INDEX; BUSINESS-CYCLE; SERIES;
D O I：
10.1016/j.econlet.2013.09.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：369 / 373
页数：5
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