Revisiting the transitional dynamics of business cycle phases with mixed-frequency data

DOI10.1080/07474938.2017.1397837zbMath1490.62419OpenAlexW4298360628MaRDI QIDQ5860939

Marie Bessec

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/15246

zbMATH Keywords

business cyclesMarkov-switchingmixed-frequency data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Estimation of Markov regime-switching regression models with endogenous switching
• MIDAS Regressions: Further Results and New Directions
• A new approach to model regime switching
• Regression models with mixed sampling frequencies
• Generalised residuals
• Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
• Dynamic linear models with Markov-switching
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Dynamic probit models and financial variables in recession forecasting
• Evaluating Specification Tests for Markov-Switching Time-Series Models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
• Time‐Varying Transition Probabilities for Markov Regime Switching Models
• A real-time data set for macroeconomists

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