Concepedia

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

Kai Carstensen, Markus Heinrich, Magnus Reif, Maik H. Wolters

SSRN Electronic Journal · 2017 · 14 citations · 0 references

Open access

Concepts

Social SciencesBusiness EconomicsEconomicsEconometricsForecastingMacroeconomicsBusiness CyclesFactor ModelsMarkov ProcessesState-space ModelsTime Series ForecastingTime Series ModelingBusiness Cycle DynamicsBusiness Cycle EffectsEconomic RecessionsForecasting Business CyclesMarkov State ModelsMulti-factor Term Structure ModelsRecession Forecasting