A01=Adrian Pagan
A01=Don Harding
Age Group_Uncategorized
Age Group_Uncategorized
Asymptotic theory (statistics)
Author_Adrian Pagan
Author_Don Harding
Autocorrelation
automatic-update
Autoregressive conditional heteroskedasticity
Autoregressive model
Bayesian inference
Bayesian information criterion
Bayesian statistics
Business cycle
Business Cycle Indicators
Category1=Non-Fiction
Category=KCB
Category=KCH
Category=KFF
Central bank
Chi-squared test
Conditional probability distribution
COP=United States
Correlation and dependence
Cross-validation (statistics)
Delivery_Delivery within 10-20 working days
Dynamic stochastic general equilibrium
Econometric model
Economic data
Economic growth
Economic indicator
Economics
Economist
eq_business-finance-law
eq_isMigrated=2
eq_non-fiction
Estimation
Estimation theory
Estimator
Exchange rate
Expectation–maximization algorithm
Expected value
Financial accelerator
Financial intermediary
Forecast error
Forecast period (finance)
Forecasting
Gibbs sampling
Global recession
Interest rate
International Monetary Fund
Keynesian economics
Language_English
Likelihood function
Likelihood-ratio test
Macroeconomic model
Macroeconomics
Markov chain
Markov process
Microeconomics
Monetary authority
Monetary policy
Monte Carlo method
Negative Growth
New Keynesian economics
Nowcasting (economics)
Output gap
PA=Available
Parameter
Prediction
Price_€50 to €100
Principal component analysis
Probability
Probit model
PS=Active
Real business-cycle theory
Recession
Return on capital
Risk management
Risk premium
Single-equation methods (econometrics)
softlaunch
Statistical model
Stock market
Stock market crash
Tax
Threshold model
Variable (mathematics)
Yield curve
Yield spread
Econometric Analysis of Recurrent Events in Macroeconomics and Finance
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.
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Product Details
- Weight: 425g
- Dimensions: 140 x 216mm
- Publication Date: 26 Jul 2016
- Publisher: Princeton University Press
- Publication City/Country: US
- Language: English
- ISBN13: 9780691167084
About Adrian PaganDon Harding
Don Harding is professorial research fellow at the Centre of Policy Studies (CoPS) at Victoria University and honorary professor of economics at La Trobe University. Adrian Pagan is professor emeritus of economics at the University of Sydney and professorial fellow at the University of Melbourne. His books include Nonparametric Econometrics.
