Autori:
Marcellino, Massimiliano ![](http://www.bncf.firenze.sbn.it/img/logo-bncf.jpg)
,
Guerin, Pierre ![](http://www.bncf.firenze.sbn.it/img/logo-bncf.jpg)
Titolo:
Markov-Switching MIDAS ModelsPeriodico:
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papersAnno:
2011 - Fascicolo:
3 - Pagina iniziale:
1 - Pagina finale:
45This 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
Premi sulle icone
![](http://www.bncf.firenze.sbn.it/img/logo-bncf.jpg)
a fianco dei nomi per visualizzare i libri scritti dall'autore
X
Opere monografiche dal catalogo BNCF
Esportazione dati in Refworks (solo per utenti abilitati)
Record salvabile in Zotero