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dc.contributor.authorFORONI, Claudia
dc.contributor.authorGUERIN, Pierre
dc.contributor.authorMARCELLINO, Massimiliano
dc.date.accessioned2016-03-09T17:20:34Z
dc.date.available2016-03-09T17:20:34Z
dc.date.issued2014
dc.identifier.urihttps://hdl.handle.net/1814/39589
dc.description.abstractThis paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the MSMF-VAR model is applied to predict GDP growth and business cycle turning points in the euro area. Its performance is compared with that of a number of competing models, including linear and regime switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful to estimate the status of economic activity.
dc.language.isoen
dc.relation.ispartofseriesCEPR Discussion Paperen
dc.relation.ispartofseries2014/9815en
dc.titleMarkov-switching Mixed-Frequency VAR models
dc.typeWorking Paper


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