Pierre Guérin - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:16:23+00:00Markov‐Switching Three‐Pass Regression Filter
https://www.bankofcanada.ca/2017/04/staff-working-paper-2017-13/
We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes.2017-04-20T13:08:27+00:00enMarkov‐Switching Three‐Pass Regression Filter2017-04-20Econometric and statistical methodsStaff Working Paper 2017-13https://www.bankofcanada.ca/wp-content/uploads/2017/04/swp2017-13.pdfMarkov‐Switching Three‐Pass Regression FilterPierre GuérinDanilo Leiva-LeonMassimiliano MarcellinoApril 2017CC2C22C23C5C53