'Markov-switching dynamic factor model (MS-DFM) for Recession Probabilities / Python
I am searching for a good code example in Python for the calculation of the recession probabilities of the Markov-switching dynamic factor model (MS-DFM) by Chauvet / Piger which are also publicated by the FRED database: https://fred.stlouisfed.org/series/RECPROUSM156N . I want to implement the same methodology for different countries and searching for a code to calculate it.
Does anyone have an idea where to look for this?
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