Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
نویسندگان
چکیده
منابع مشابه
Revisiting the transitional dynamics of business-cycle phases with mixed frequency data
This paper introduces a Markov-Switching model where transition probabilities depend on higher frequency indicators and their lags, through polynomial weighting schemes. The MSV-MIDAS model is estimated via maximum likelihood methods. The estimation relies on a slightly modified version of Hamilton’s recursive filter. We use Monte Carlo simulations to assess the robustness of the estimation pro...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2018
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2017.1397837