Detecting Turning Points with Many Predictors through Hidden Markov Models
Year of publication: |
2004-07-04
|
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Authors: | Bellone, Benoit ; Saint-Martin, David |
Institutions: | EconWPA |
Subject: | Business Cycle | Markov Switching | Dynamic Factor | Coincident Indicators |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 34. This paper is dedicated to an analysis of business cycle indicator leading to a stochastic recession index. 34 pages |
Classification: | C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy |
Source: |
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