Working PapersGuerin, P., Leiva-Leon, D. & Marcellino, M. (2016), Markov-switching three-pass regression filter, Technical report, Department of Economics, Bocconi.Gu´erin, P., Leiva-Leon, D., and Marcellino, M. (2016). Markov-Switching Three-Pass Regression Filter. Mimeo.
The new method, denoted as Markov-switching three-pass regression filter (MS-3PRF), is suitable for datasets with large cross-sectional dimensions, since estimation and inference are straightforward, as opposed to existing regime-switching factor models where computational complexity limits applicability ...
The new method, denoted as Markov-Switching three-pass regression filter (MS-3PRF), is suitable for datasets with large cross-sectional dimensions since estimation and inference are straightforward, as opposed to existing regime-switching factor models, where computational complexity limits applicability ...