Series: Working Papers. 1205.
Author: Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela.
Published in: International Journal of Forecasting, Volume 34 Issue 4 October-December 2018. Pages 598-611
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Abstract
We extend the Markov-switching dynamic factor model to account for some of the specificities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefits of this extension and corroborate the results through several Monte Carlo simulations. Finally, we assess its empirical reliability to compute real-time inferences of the US business cycle.