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Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle

  • Don Harding

    ()

    (LaTrobe)

To match the NBER business cycle features it is necessary to employ Generalised dynamic categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests additional shape restrictions in the form of monotonicity and boundedness of certain transition probabilities. Maximum likelihood and constraint weighted bootstrap estimators are developed to impose these restrictions. In the application these estimators generate improved estimates of how the probability of recession varies with the yield spread.

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File URL: http://www.ncer.edu.au/papers/documents/WPNo58.pdf
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Paper provided by National Centre for Econometric Research in its series NCER Working Paper Series with number 58.

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Length: 33 pages
Date of creation: 28 Jul 2010
Date of revision:
Handle: RePEc:qut:auncer:2010_05
Contact details of provider: Phone: 07 3138 5066
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Web page: http://www.ncer.edu.au

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  1. Don Harding & Adrian Pagan, 2009. "An Econometric Analysis of Some Models for Constructed Binary Time Series," NCER Working Paper Series 39, National Centre for Econometric Research, revised 02 Jul 2009.
  2. Henderson, Daniel J. & Parmeter, Christopher F., 2009. "Imposing Economic Constraints in Nonparametric Regression: Survey, Implementation and Extension," IZA Discussion Papers 4103, Institute for the Study of Labor (IZA).
  3. Racine, Jeffrey S., 2008. "Nonparametric Econometrics: A Primer," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(1), pages 1-88, March.
  4. Jeffrey Racine, 2008. "Nonparametric econometrics: a primer (in Russian)," Quantile, Quantile, issue 4, pages 7-56, March.
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