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The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Don Harding and Adrian Pagan

Published in print:
2016
Published Online:
January 2018
ISBN:
9780691167084
eISBN:
9781400880935
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691167084.001.0001
Subject:
Economics and Finance, Econometrics

The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the ... More


Overview

Don Harding and Adrian Pagan

in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Published in print:
2016
Published Online:
January 2018
ISBN:
9780691167084
eISBN:
9781400880935
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691167084.003.0001
Subject:
Economics and Finance, Econometrics

There are many events that recur. These are evident either directly in time series or through their effects on economic outcomes. Examples include business and financial cycles, crises, high and low ... More


Model-Based Rules for Describing Recurrent Events

Don Harding and Adrian Pagan

in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Published in print:
2016
Published Online:
January 2018
ISBN:
9780691167084
eISBN:
9781400880935
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691167084.003.0004
Subject:
Economics and Finance, Econometrics

The chapter discusses a particular way of producing rules to summarize the nature of the recurrent events. These rules come from the idea that the data incorporating the recurrent event can be ... More


Measuring Synchronization of Recurrent Events in Multivariate Data

Don Harding and Adrian Pagan

in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Published in print:
2016
Published Online:
January 2018
ISBN:
9780691167084
eISBN:
9781400880935
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691167084.003.0006
Subject:
Economics and Finance, Econometrics

This chapter presents methods for capturing the synchronization of recurrent events in bivariate and multiple series. The special features of the unconditional densities of binary series recommend ... More


Measuring Recurrent Event Features in Univariate Data

Don Harding and Adrian Pagan

in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Published in print:
2016
Published Online:
January 2018
ISBN:
9780691167084
eISBN:
9781400880935
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691167084.003.0005
Subject:
Economics and Finance, Econometrics

This chapter begins with a discussion of why we would expect to find that the time spent in expansions (bull markets, etc.) would be much greater than the time spent in contractions (bear markets, ... More


Using the Recurrent Event Binary States to Examine Economic Modeling Issues

Don Harding and Adrian Pagan

in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Published in print:
2016
Published Online:
January 2018
ISBN:
9780691167084
eISBN:
9781400880935
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691167084.003.0008
Subject:
Economics and Finance, Econometrics

This chapter looks at using the binary states describing the recurrent events to help in either constructing economic models of time series or evaluating the fit of such models. The chapter provides ... More


Constructing Reference Cycles with Multivariate Information

Don Harding and Adrian Pagan

in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Published in print:
2016
Published Online:
January 2018
ISBN:
9780691167084
eISBN:
9781400880935
Item type:
chapter
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691167084.003.0003
Subject:
Economics and Finance, Econometrics

The chapter looks at how recurrent events might be dated by using a number of series rather than a single one. There is no one method to do this, but in many cases, the procedures come up with rather ... More


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