Mixed-frequency VAR models with Markov-switching dynamics

DOI10.1016/J.ECONLET.2013.09.010MaRDI QIDQ2453034zbMATH OpenOpenAlexFDO

Authors Maximo Camacho

Publication date 6 June 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.09.010

zbMATH Keywords

business cyclesoutput growthtime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic time series analysis (91B84)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Dynamic linear models with Markov-switching
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis

Cited in

(17)

• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Asymmetries and Markov-switching structural VAR
• An extension of stochastic volatility model with mixed frequency information
• Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov-switching model
• Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
• Estimating dynamic equilibrium models using mixed frequency macro and financial data
• Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach
• Mixed-frequency vector autoregressive models
• Hybrid versus highbred: combined economic models with time-series analyses
• Nonstationarities and Markov switching models
• Markov-switching models with applications in macroeconomics and finance
• Confronting model misspecification in macroeconomics
• Marginal distribution of Markov-switching <scp>VAR</scp> processes
• Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
• Bayesian group-shrinkage based estimation for panel vector autoregressive models with mixed frequency data
• Macroeconomics and the reality of mixed frequency data
• A new approach for estimating VAR systems in the mixed-frequency case

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