Comment on Harding and Pagan 'The econometric analysis of some constructed binary time series'
This comment discusses Harding and Pagan's (2007) article that advocates modeling the NBER business cycle chronology as the outcome of the two-quarter rule. The comment shows that the two-quarter rule does not fare well as a description of the decision-making of the NBER with real-time data available at the time the NBER declared the turning points. In addition, it is not clear how generally one could posit tractable rules-such as the two-quarter rule-for other constructed binary time series, such as stock market booms and busts. As an alternative to modeling the NBER chronology per se, this comment suggests a modified Qual VAR that includes autoregressive dynamics in the latent business cycle index. Out-of-sample forecast results from this model look promising with real-time data without the econometric shortcomings highlighted in Harding and Pagan's critique of the literature to date.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||2007|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.stlouisfed.org/
More information through EDIRC
|Order Information:|| Email: |
When requesting a correction, please mention this item's handle: RePEc:fip:fedlwp:2007-054. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anna Xiao)
If references are entirely missing, you can add them using this form.