Markov-Switching Three-Pass Regression Filter

Cites Work

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The three-pass regression filter: a new approach to forecasting using many predictors
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Revisiting useful approaches to data-rich macroeconomic forecasting
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On the network topology of variance decompositions: measuring the connectedness of financial firms
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Testing for regime switching: a comment
A multivariate Markov chain model for categorical data sequences and its applications in demand predictions
Forecasting Using Principal Components From a Large Number of Predictors
Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
Factor Model Forecasts of Exchange Rates
Testing Dependence Among Serially Correlated Multicategory Variables
Testing for Regime Switching
The Generalized Dynamic Factor Model
Real-time nowcasting of nominal GDP with structural breaks
Classical time varying factor-augmented vector auto-regressive models -- estimation, forecasting and structural analysis

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