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The Econometric Analysis of Recurrent Events in Macroeconomics and Finance$
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Don Harding and Adrian Pagan

Print publication date: 2016

Print ISBN-13: 9780691167084

Published to Princeton Scholarship Online: January 2018

DOI: 10.23943/princeton/9780691167084.001.0001

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Overview

Overview

Chapter:
(p.1) Chapter 1 Overview
Source:
The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
Author(s):

Don Harding

Adrian Pagan

Publisher:
Princeton University Press
DOI:10.23943/princeton/9780691167084.003.0001

There are many events that recur. These are evident either directly in time series or through their effects on economic outcomes. Examples include business and financial cycles, crises, high and low levels of volatility and sentiment, and floods and droughts. There are three key issues that need to be dealt with when discussing recurrent events. These are: (i) the description of the event via a set of statistics; (ii) the uses that can be made of these statistics; and (iii) the possibility of predicting these events, in particular by using information sets that contain more information than just calendar time. It pays to consider the basic issues involving recurrent events in the context of a simple example, and that is the modus operandi of this overview chapter.

Keywords:   recurrent events, event indicators, prediction, statistics

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