State Space Models with Endogenous Regime Switching

In the new CAMP working paper 09/2018 Chang, Maih and Tan aims at broadening the scope for understanding the complex interaction between recurrent structural changes and measured economic behavior. They study the estimation of state space models whose parameters are switching endogenously between two regimes, depending on whether an autoregressive latent factor crosses some threshold level. Their …

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FNI Update October – Is the business cycle turning?

About the index The Financial News index (FNI) is designed to track Norwegian GDP growth and the business cycle at high frequency. The underlying indicators are daily time series representing how much the media writes about various topics. To read more about the FNI, visit our website. To read more about the use of textual …

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