Markov-Switching Three-Pass Regression Filter-Reference-Cited by-同舟云学术

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Markov-Switching Three-Pass Regression Filter

Published:2018-10-16 Issue:2 Volume:38 Page:285-302
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Guérin Pierre¹,Leiva-Leon Danilo²,Marcellino Massimiliano³⁴⁵

Affiliation:

1. OECD, Paris 75775, France (

2. Banco de España, Madrid 28014, Spain ()

3. Bocconi University, Milano 20136, Italy

4. Innocenzo Gasparini Institute for Economic Research (IGIER), Milano 20136, Italy

5. Centre for Economic Policy Research (CEPR), London EC1V 7RR, United Kingdom ()

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2018.1497508

Reference54 articles.

1. Have Standard VARS Remained Stable Since the Crisis?

2. Point, interval and density forecasts of exchange rates with time varying parameter models

3. Consistent Estimation of the Number of Dynamic Factors in a LargeNandTPanel

4. Regime Changes and Financial Markets

5. Forecasting economic time series using targeted predictors

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