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dc.contributor.authorGUERIN, Pierre
dc.contributor.authorMARCELLINO, Massimiliano
dc.date.accessioned2014-01-09T14:31:33Z
dc.date.available2014-01-09T14:31:33Z
dc.date.issued2013
dc.identifier.citationJournal of Business and Economic Statistics, 2013, Vol. 31, No. 1, pp. 45-56en
dc.identifier.issn1537-2707
dc.identifier.issn0735-0015
dc.identifier.urihttps://hdl.handle.net/1814/29183
dc.descriptionRevised version of EUI ECO WP 2011/03. Accepted author version posted online: 12 Sep 2012. Published online: 28 Jan 2013.en
dc.description.abstractThis article 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 mixed-frequency data in Markov-switching models. After a discussion of estimation and inference for MS-MIDAS and a small sample simulation-based evaluation, the MS-MIDAS model is applied to the prediction of the U.S. economic activity, in terms of both quantitative forecasts of the aggregate economic activity and the prediction of the business cycle regimes. Both simulation and empirical results indicate that MS-MIDAS is a very useful specification.en
dc.language.isoenen
dc.relation.ispartofJournal of Business and Economic Statisticsen
dc.relation.isversionofhttp://hdl.handle.net/1814/15644
dc.titleMarkov switching MIDAS modelsen
dc.typeArticleen
dc.identifier.doi10.1080/07350015.2012.727721
dc.identifier.volume31en
dc.identifier.startpage45en
dc.identifier.endpage56en
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dc.identifier.issue1en


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