Markov-Switching Mixed-Frequency VAR Models

M Marcellino, C Foroni - 2014 - ideas.repec.org
This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We
first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF …
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Markov-Switching Mixed-Frequency VAR Models

M Marcellino, C Foroni - 2014 - econpapers.repec.org
This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We
first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF …