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Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model. (2020). Pionnier, Pierre-Alain ; Ferrara, Laurent ; Doz, Catherine.
In: Working Papers.
RePEc:hal:wpaper:halshs-02443364.

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Cited: 4

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Cites: 53

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Cocites: 31

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  1. Leading indicators of financial stress in Croatia: a regime switching approach. (2023). Skrinjaric, Tihana.
    In: Public Sector Economics.
    RePEc:ipf:psejou:v:47:y:2023:i:2:p:0-0.

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  2. Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model. (2020). van Dijk, Dick ; van Os, Bram.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20200057.

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  3. The extensive margin and US aggregate fluctuations: A quantitative assessment. (2020). Casares, Miguel ; Poutineau, Jean-Christophe ; Khan, Hashmat.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301652.

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  4. Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul.
    In: Papers.
    RePEc:arx:papers:2012.02601.

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References

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  28. Following Kim and Nelson (1998), we use 𝛾𝑗 𝑚 = 0 and 𝐴𝑗 𝑚 = 1 for j = 1...3, 𝛾4 𝑚 = 04𝑥1 and 𝐴4 𝑚 = 𝐼𝑑4. Notation: ∆𝐶𝑗,1..𝑇 ∗ ̃ is the (TxNj) vector of right-hand-side variables in the above equations. Posterior distributions: 𝑁 ([(𝐴𝑗 𝑚 ) −1 + (𝜎𝑗 𝑚 ) −2 ∆𝐶𝑗,1..𝑇 ∗ ̃ ′∆𝐶𝑗,1..𝑇 ∗ ̃ ] −1 [(𝐴𝑗 𝑚 ) −1 𝛾𝑗 𝑚 + (𝜎𝑗 𝑚 ) −2 ∆𝐶𝑗,1..𝑇 ∗ ̃ ′∆𝑦𝑗,1..𝑇 ∗ ̃ ] , [(𝐴𝑗 𝑚 ) −1 + (𝜎𝑗 𝑚 ) −2 ∆𝐶𝑗,1..𝑇 ∗ ̃ ′∆𝐶𝑗,1..𝑇 ∗ ̃ ] −1 ) 42 Step 5a: Draw 𝝍𝟏 𝒒 conditional on 𝑢1,1..𝑇 𝑞 ̃ and 𝜎1 𝑞 , based on the following equation: 𝑢1,𝑡 𝑞 = 𝜓11 𝑞 𝑢1,𝑡−1 𝑞 + 𝜎1 𝑞 ∙ 𝜀1𝑡 𝑞 Prior distribution: 𝜓1 𝑞 ~𝑁 (𝜓1 𝑞 , 𝐵1 𝑞
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