Browsing Department of Economics (ECO) by Author "GUÉRIN, Pierre"

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Browsing Department of Economics (ECO) by Author "GUÉRIN, Pierre"

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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: Essays in Applied Time Series Econometrics  Author(s): GUÉRIN, Pierre Date: 2011 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: In the first chapter of this thesis, I estimate Markov-switching models with time-varying transition probabilities to predict the US business cycle regimes. In particular, I evaluate the predictive power of real and ...