Predicting Ordinary And Severe Recessions With A Three State Markov Switching Dynamic Factor Model

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We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set

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Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

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We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set

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Advances in Markov-Switching Models

Authors: James D. Hamilton

Categories: Business & Economics

Type: BOOK - Published: 2013-06-29 - Publisher: Springer Science & Business Media

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This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advance