| Description |
1 online resource (xiii, 215 pages) : illustrations. |
|
text file PDF |
| Physical Medium |
polychrome |
| Series |
The Econometric and Tinbergen Institutes Lectures
|
|
Econometric and Tinbergen Institutes lectures.
|
| Bibliography |
Includes bibliographical references and index. |
| Contents |
Cover; Title; Copyright; Contents; Series Editors' Introduction ; Preface ; 1 Overview ; 1.1 Introduction ; 1.2 Describing the Events ; 1.3 Using the Event Indicators ("States") ; 1.4 Prediction of Recurrent Events ; 1.5 Conclusion. |
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2 Methods for Describing Oscillations, Fluctuations, and Cycles in Univariate Series 2.1 Introduction ; 2.2 Types of Movements in Real and Financial Series ; 2.3 Prescribed Rules for Dating Business Cycles ; 2.4 Prescribed Rules for Dating Other Types of Real Cycles. |
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2.5 Prescribed Rules for Dating Financial Cycles 2.6 Relations between Cycles and Oscillations ; 2.7 The Nature of St and Its Modeling ; 2.8 Conclusion ; 3 Constructing Reference Cycles with Multivariate Information ; 3.1 Introduction ; 3.2 Determining the Reference Cycle via Phases. |
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3.3 Combining Specific Cycle Turning Points 3.4 Finding Turning Points by Series Aggregation ; 3.5 Conclusion ; 4 Model-Based Rules for Describing Recurrent Events ; 4.1 Introduction ; 4.2 Dating Cycles with Univariate Series. |
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4.3 Model-Based Rules for Dating Events with Multivariate Series 4.4 Conclusion ; 5 Measuring Recurrent Event Features in Univariate Data ; 5.1 Introduction ; 5.2 The Fraction of Time Spent in Expansions ; 5.3 Representing the Features of Phases ; 5.4 Amplitudes and Durations of Phases. |
| 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. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Language |
In English. |
| Subject |
Economics -- Statistical methods.
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Economics -- Statistical methods. |
| Genre/Form |
Electronic books.
|
| Added Author |
Pagan, A. R., author.
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| Other Form: |
Print version: Harding, Don. Econometric analysis of recurrent events in macroeconomics and finance. Princeton, New Jersey : Princeton University Press, [2016] 0691167087 (DLC) 2015958412 (OCoLC)926820217 |
| ISBN |
1400880939 (electronic book) |
|
9781400880935 (electronic book) |
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9780691167084 |
|
0691167087 |
| Standard No. |
10.1515/9781400880935 |
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