The econometric analysis of recurrent events in macroeconomics and finance
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| Hauptverfasser: | , |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton and Oxford
Princeton University Press
[2016]
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| Schriftenreihe: | The Econometric and Tinbergen Institutes lectures
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
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| 245 | 1 | 0 | |a The econometric analysis of recurrent events in macroeconomics and finance |c Don Harding and Adrian Pagan |
| 264 | 1 | |a Princeton and Oxford |b Princeton University Press |c [2016] | |
| 264 | 4 | |c © 2016 | |
| 300 | |a xiii, 215 Seiten |b Illustrationen | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a The Econometric and Tinbergen Institutes lectures | |
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| 650 | 4 | |a Macroeconomics / Mathematical models | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Econometric models | |
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Datensatz im Suchindex
| DE-19_call_number | 0500/QH 320 H263 |
|---|---|
| DE-19_location | 70 |
| DE-BY-UBM_katkey | 5464153 |
| DE-BY-UBM_media_number | 41624612190017 |
| _version_ | 1823056244611481600 |
| adam_text | Contents
Series Editors’ Introduction ix
Preface xi
1 Overview 1
1.1 Introduction 1
1.2 Describing the Events 2
1.3 Using the Event Indicators ( States”) 10
1.4 Prediction of Recurrent Events 12
1.5 Conclusion 13 2
2 Methods for Describing Oscillations,
Fluctuations, and Cycles in Univariate Series 15
2.1 Introduction 15
2.2 Types of Movements in Real and Financial
Series 16
2.3 Prescribed Rules for Dating Business
Cycles 26
2.4 Prescribed Rules for Dating Other Types of
Real Cycles 38
2.5 Prescribed Rules for Dating Financial
Cycles 40
2.6 Relations between Cycles and Oscillations 41
2.7 The Nature of St and Its Modeling 45
2.8 Conclusion 50
51
51
52
54
60
61
62
62
63
82
85
86
86
87
89
90
94
99
100
101
106
107
107
108
115
116
• Contents
Constructing Reference Cycles with
Multivariate Information
3.1 Introduction
3.2 Determining the Reference Cycle via Phases
3.3 Combining Specific Cycle Turning Points
3.4 Finding Turning Points by Series
Aggregation
3.5 Conclusion
Model-Based Rules for Describing Recurrent
Events
4.1 Introduction
4.2 Dating Cycles with Univariate Series
4.3 Model-Based Rules for Dating Events with
Multivariate Series
4.4 Conclusion
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
5.5 The Shapes of Phases
5.6 The Diversity of Phases
5.7 Plucking Effects and Recovery Times
5.8 Duration Dependence in Phases
5.9 Conclusion
Measuring Synchronization of Recurrent
Events in Multivariate Data
6.1 Introduction
6.2 Moment-Based Measures
6.3 Other Approaches to Measuring
Synchronization
Synchronization and Model-Based Rules
6.4
Contents • vii
6.5 Application to Synchronization of Industrial
Production Cycles 116
6.6 Multivariate Synchronization 118
6.7 Comovement of Cycles 119
6.8 Conclusion 121
7 Accounting for Observed Cycle Features with
a Range of Statistical Models 122
7.1 Introduction 122
7.2 U.S. Cycles as a Benchmark 123
7.3 The Business Cycle in a Range of Countries 129
7.4 Can U.S. Business Cycles Be Generated by
Linear Models? 129
7.5 What Do Non-Linear Models Add? 132
7.6 Two Markov Switching Models 137
7.7 Using the Binaiy Indicators in Multivariate
Systems 138
7.8 Conclusion 142
8 Using the Recurrent Event Binary States to
Examine Economic Modeling Issues 143
8.1 Introduction 143
8.2 Estimating Univariate Models with
Constructed Binary Data 145
8.3 What Do Variance Decompositions Tell Us
About the Cycle? 150
8.4 The Role of Structural Shocks in
Determining Cycle Features 152
8.5 Financial Effects and the Business Cycle 154
8.6 Conclusion 161
9 Predicting Turning Points and Recessions 163
9.1 Introduction 163
9.2 Bounding the Probability of the Occurrence
of a Peak 166
9.3 Predicting Recessions with a Range of
Variables 168
viii • Contents
9.4 Changing the Event Defining Recessions
and Turning Points 182
9.5 Conclusion 184
References
187
205
Index
|
| any_adam_object | 1 |
| author | Harding, Don Pagan, Adrian R. |
| author_GND | (DE-588)171345037 (DE-588)122834666 |
| author_facet | Harding, Don Pagan, Adrian R. |
| author_role | aut aut |
| author_sort | Harding, Don |
| author_variant | d h dh a r p ar arp |
| building | Verbundindex |
| bvnumber | BV043704704 |
| classification_rvk | QH 320 |
| ctrlnum | (OCoLC)957520978 (DE-599)BSZ47547497X |
| dewey-full | 339.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 339 - Macroeconomics and related topics |
| dewey-raw | 339.015195 |
| dewey-search | 339.015195 |
| dewey-sort | 3339.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV043704704 |
| illustrated | Illustrated |
| indexdate | 2025-02-03T17:57:29Z |
| institution | BVB |
| isbn | 9780691167084 0691167087 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029117046 |
| oclc_num | 957520978 |
| open_access_boolean | |
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| owner_facet | DE-355 DE-BY-UBR DE-N2 DE-2070s DE-92 DE-19 DE-BY-UBM |
| physical | xiii, 215 Seiten Illustrationen |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | Princeton University Press |
| record_format | marc |
| series2 | The Econometric and Tinbergen Institutes lectures |
| spellingShingle | Harding, Don Pagan, Adrian R. The econometric analysis of recurrent events in macroeconomics and finance Mathematisches Modell Ökonometrisches Modell Macroeconomics / Mathematical models Econometrics Econometric models Ökonometrisches Modell (DE-588)4043212-9 gnd Konjunktur (DE-588)4032125-3 gnd Mathematische Methode (DE-588)4155620-3 gnd |
| subject_GND | (DE-588)4043212-9 (DE-588)4032125-3 (DE-588)4155620-3 |
| title | The econometric analysis of recurrent events in macroeconomics and finance |
| title_auth | The econometric analysis of recurrent events in macroeconomics and finance |
| title_exact_search | The econometric analysis of recurrent events in macroeconomics and finance |
| title_full | The econometric analysis of recurrent events in macroeconomics and finance Don Harding and Adrian Pagan |
| title_fullStr | The econometric analysis of recurrent events in macroeconomics and finance Don Harding and Adrian Pagan |
| title_full_unstemmed | The econometric analysis of recurrent events in macroeconomics and finance Don Harding and Adrian Pagan |
| title_short | The econometric analysis of recurrent events in macroeconomics and finance |
| title_sort | the econometric analysis of recurrent events in macroeconomics and finance |
| topic | Mathematisches Modell Ökonometrisches Modell Macroeconomics / Mathematical models Econometrics Econometric models Ökonometrisches Modell (DE-588)4043212-9 gnd Konjunktur (DE-588)4032125-3 gnd Mathematische Methode (DE-588)4155620-3 gnd |
| topic_facet | Mathematisches Modell Ökonometrisches Modell Macroeconomics / Mathematical models Econometrics Econometric models Konjunktur Mathematische Methode |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029117046&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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