Explain the difference between one-step ahead and filtered

Reference no: EM131020368

a. Clearly explain the difference between one-step ahead, filtered, and smoothed regime probabilities. Is it correct to state that we should always use smoothed instead of filtered probabilities to identify phrases of business cycle? Why or Why not?

b. Derive the smoothed probabilities using information up to t+1.

Reference no: EM131020368

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