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

  • Don Harding

    ()

    (School of Economics, La Trobe University)

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.latrobe.edu.au/__data/assets/pdf_file/0016/130921/2010.05.pdf
File Function: First version, 200
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Paper provided by School of Economics, La Trobe University in its series Working Papers with number 2010.05.

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Length: 34 pages
Date of creation: Jul 2010
Date of revision:
Handle: RePEc:trb:wpaper:2010.05
Contact details of provider: Web page: http://www.latrobe.edu.au/economics

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  1. 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).
  2. Racine, Jeffrey S., 2008. "Nonparametric Econometrics: A Primer," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(1), pages 1-88, March.
  3. Jeffrey Racine, 2008. "Nonparametric econometrics: a primer (in Russian)," Quantile, Quantile, issue 4, pages 7-56, March.
  4. Harding, Don & Pagan, Adrian, 2011. "An Econometric Analysis of Some Models for Constructed Binary Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 86-95.
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