Browsing Department of Economics (ECO) by Subject "Business cycle"

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Browsing Department of Economics (ECO) by Subject "Business cycle"

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    Title: Markov-Switching MIDAS Models  Author(s): GUÉRIN, Pierre; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of ...
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    Title: Dynamic Factors in the Presence of Block Structure  Author(s): HALLIN, Marc; LIŠKA, Roman Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Macroeconometric data often come under the form of large panels of time series, themselves decomposing into smaller but still quite large subpanels or blocks. We show how the dynamic factor analysis method proposed in ...