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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP8234 |
DP8234 Markov-switching MIDAS models | |
Massimiliano Marcellino | |
发表日期 | 2011-02-08 |
出版年 | 2011 |
语种 | 英语 |
摘要 | 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 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 US and UK economic activity, in terms both of quantitative forecasts of the aggregate economic activity and of the prediction of the business cycle regimes. Both simulation and empirical results indicate that MSMIDAS is a very useful specification. |
主题 | International Macroeconomics |
关键词 | Business cycle Mixed-frequency data Non-linear models Forecasting Nowcasting |
URL | https://cepr.org/publications/dp8234 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537072 |
推荐引用方式 GB/T 7714 | Massimiliano Marcellino. DP8234 Markov-switching MIDAS models. 2011. |
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