The econometric analysis of recurrent events in macroeconomics and finance / Don Harding, Adrian Pagan.

Format:

Book

Author/Creator:

Harding, Don, author.

Pagan, Adrian, author.

Series:

Econometric and Tinbergen Institutes lectures.

The Econometric and Tinbergen Institutes Lectures

Language:

English

Subjects (All):

Macroeconomics--Mathematical models.

Econometrics.

Econometric models.

Business cycles--Econometric models.

Physical Description:

1 online resource (233 p.)

Place of Publication:

Princeton, NJ : Princeton University Press, [2016]

Language Note:

In English.

Summary:

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 most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction.This book presents the econometric methods necessary for the successful modeling of recurrent events, providing valuable insights for policymakers, empirical researchers, and theorists. It explains why it is inherently difficult to forecast the onset of a recession in a way that provides useful guidance for active stabilization policy, with the consequence that policymakers should place more emphasis on making the economy robust to recessions. The book offers a range of econometric tools and techniques that researchers can use to measure recurrent events, summarize their properties, and evaluate how effectively economic and statistical models capture them. These methods also offer insights for developing models that are consistent with observed financial and real cycles.This book is an essential resource for students, academics, and researchers at central banks and institutions such as the International Monetary Fund.

Contents:

Frontmatter

Contents

Series Editors' Introduction / Dijk, Herman K. van / Franses, Philip Hans

Preface

Chapter 1. Overview

Chapter 2. Methods for Describing Oscillations, Fluctuations, and Cycles in Univariate Series

Chapter 3. Constructing Reference Cycles with Multivariate Information

Chapter 4. Model-Based Rules for Describing Recurrent Events

Chapter 5. Measuring Recurrent Event Features in Univariate Data

Chapter 6. Measuring Synchronization of Recurrent Events in Multivariate Data

Chapter 7. Accounting for Observed Cycle Features with a Range of Statistical Models

Chapter 8. Using the Recurrent Event Binary States to Examine Economic Modeling Issues

Chapter 9. Predicting Turning Points and Recessions

References

Index

Notes:

Description based upon print version of record.

Includes bibliographical references (pages 187-203) and index.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 23. Mai 2019)

ISBN:

9781400880935

1400880939

OCLC:

1017610784