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Econometric Analysis and Prediction of Recurrent Events

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  • Adrian Pagan

    ()
    (School of Economics, University of Sydney)

  • Don Harding

    ()
    (School of Economics and Finance, La Trobe University)

Abstract

Economic events such as expansions and recessions in economic activity, bull and bear markets in stock prices and financial crises have long attracted substantial interest. In recent times there has been a focus upon predicting the events and constructing Early Warning Systems of them. Econometric analysis of such recurrent events is however in its infancy. One can represent the events as a set of binary indicators. However they are different to the binary random variables studied in micro-econometrics, being constructed from some (possibly) continuous data. The lecture discusses what difference this makes to their econometric analysis. It sets out a framework which deals with how the binary variables are constructed, what an appropriate estimation procedure would be, and the implications for the prediction of them. An example based on Turkish business cycles is used throughout the lecture.

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2011-33.

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Length: 34
Date of creation: 19 Sep 2011
Date of revision:
Handle: RePEc:aah:create:2011-33

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Business and Financial Cycles; Binary Time Series; BBQ Algorithm;

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