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03
JUL 2017
14:15 - 15:45

IWH Research Seminar

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

Who
Maik Wolters (Friedrich-Schiller-Universität Jena)
Where
IWH conference room

We estimate a Markow-switching dynamic factor model with three states based on six leading business cycle indicators for Germany preselected from a broader set using the Elastic Net softthresholding rule.

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