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The Econometric Analysis of Recurrent Events in Macroeconomics and Finance / Adrian Pagan, Don Harding.

By: Contributor(s): Material type: TextTextSeries: The Econometric and Tinbergen Institutes LecturesPublisher: Princeton, NJ : Princeton University Press, [2016]Copyright date: ©2016Description: 1 online resource (232 p.) : 20 line illus. 18 tablesContent type:
Media type:
Carrier type:
ISBN:
  • 9780691167084
  • 9781400880935
Subject(s): DDC classification:
  • 339.015195 23
LOC classification:
  • HB172.5 .H3 2018
Other classification:
  • online - DeGruyter
Online resources: Available additional physical forms:
  • Issued also in print.
Contents:
Frontmatter -- Contents -- Series Editors' Introduction -- Preface -- Chapter 1. Overview -- Chapter 2. Methods for Describing Oscillations, Fluctuations, and Cycles in Univariate Series -- Chapter 3. Constructing Reference Cycles with Multivariate Information -- Chapter 4. Model-Based Rules for Describing Recurrent Events -- Chapter 5. Measuring Recurrent Event Features in Univariate Data -- Chapter 6. Measuring Synchronization of Recurrent Events in Multivariate Data -- Chapter 7. Accounting for Observed Cycle Features with a Range of Statistical Models -- Chapter 8. Using the Recurrent Event Binary States to Examine Economic Modeling Issues -- Chapter 9. Predicting Turning Points and Recessions -- References -- Index
Summary: The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction.This book presents the econometric methods necessary for the successful modeling of recurrent events, providing valuable insights for policymakers, empirical researchers, and theorists. It explains why it is inherently difficult to forecast the onset of a recession in a way that provides useful guidance for active stabilization policy, with the consequence that policymakers should place more emphasis on making the economy robust to recessions. The book offers a range of econometric tools and techniques that researchers can use to measure recurrent events, summarize their properties, and evaluate how effectively economic and statistical models capture them. These methods also offer insights for developing models that are consistent with observed financial and real cycles.This book is an essential resource for students, academics, and researchers at central banks and institutions such as the International Monetary Fund.
Holdings
Item type Current library Call number URL Status Notes Barcode
eBook eBook Biblioteca "Angelicum" Pont. Univ. S.Tommaso d'Aquino Nuvola online online - DeGruyter (Browse shelf(Opens below)) Online access Not for loan (Accesso limitato) Accesso per gli utenti autorizzati / Access for authorized users (dgr)9781400880935

Frontmatter -- Contents -- Series Editors' Introduction -- Preface -- Chapter 1. Overview -- Chapter 2. Methods for Describing Oscillations, Fluctuations, and Cycles in Univariate Series -- Chapter 3. Constructing Reference Cycles with Multivariate Information -- Chapter 4. Model-Based Rules for Describing Recurrent Events -- Chapter 5. Measuring Recurrent Event Features in Univariate Data -- Chapter 6. Measuring Synchronization of Recurrent Events in Multivariate Data -- Chapter 7. Accounting for Observed Cycle Features with a Range of Statistical Models -- Chapter 8. Using the Recurrent Event Binary States to Examine Economic Modeling Issues -- Chapter 9. Predicting Turning Points and Recessions -- References -- Index

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http://purl.org/coar/access_right/c_16ec

The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction.This book presents the econometric methods necessary for the successful modeling of recurrent events, providing valuable insights for policymakers, empirical researchers, and theorists. It explains why it is inherently difficult to forecast the onset of a recession in a way that provides useful guidance for active stabilization policy, with the consequence that policymakers should place more emphasis on making the economy robust to recessions. The book offers a range of econometric tools and techniques that researchers can use to measure recurrent events, summarize their properties, and evaluate how effectively economic and statistical models capture them. These methods also offer insights for developing models that are consistent with observed financial and real cycles.This book is an essential resource for students, academics, and researchers at central banks and institutions such as the International Monetary Fund.

Issued also in print.

Mode of access: Internet via World Wide Web.

In English.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)