Markov-Switching MIDAS Models
Markov-Switching MIDAS Models
About this item
Full title
Author / Creator
Publisher
Alexandria: Taylor & Francis Group
Journal title
Language
English
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Publication information
Publisher
Alexandria: Taylor & Francis Group
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Scope and Contents
Contents
This article introduces a new regression model-Markov-switching mixed data sampling (MS-MIDAS)-that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of estimation and inference for MS-MIDAS and a small sample simulati...
Alternative Titles
Full title
Markov-Switching MIDAS Models
Authors, Artists and Contributors
Author / Creator
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Primary Identifiers
Record Identifier
TN_cdi_jstor_primary_41810018
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_jstor_primary_41810018
Other Identifiers
ISSN
0735-0015
E-ISSN
1537-2707
DOI
10.1080/07350015.2012.727721
