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Binomial Autoregressive Moving Average Models With an Application to U.S. Recessions

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Author Info

  • Startz, Richard

Abstract

Binary Autoregressive Moving Average (BARMA) models provide a modeling technology for binary time series analogous to the classic Gaussian ARMA models used for continuous data. BARMA models mitigate the curse of dimensionality found in long lag Markov models and allow for non-Markovian persistence. The autopersistence function (APF) and autopersistence graph (APG) provide analogs to the autocorrelation function and correlogram. Parameters of the BARMA model may be estimated by either maximum likelihood or MCMC methods. Application of the BARMA model to U.S. recession data suggests that a BARMA(2,2) model is superior to traditional Markov models.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 26 (2008)
Issue (Month): (January)
Pages: 1-8

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Handle: RePEc:bes:jnlbes:v:26:y:2008:p:1-8

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Cited by:
  1. Francis Bismans & Reynald Majetti, 2013. "Forecasting recessions using financial variables: the French case," Empirical Economics, Springer, vol. 44(2), pages 419-433, April.
  2. Giovanni De Luca & Alfonso Carfora, 2014. "Predicting U.S. recessions through a combination of probability forecasts," Empirical Economics, Springer, vol. 46(1), pages 127-144, February.
  3. Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).
  4. Henri Nyberg, 2010. "Testing an autoregressive structure in binary time series models," Economics Bulletin, AccessEcon, vol. 30(2), pages 1460-1473.
  5. Igor Kheifets & Carlos Velasco, 2013. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924, Cowles Foundation for Research in Economics, Yale University.
  6. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).

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