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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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Model-Based Rules for Describing Recurrent Events

Model-Based Rules for Describing Recurrent Events

Chapter:
(p.62) Chapter 4 Model-Based Rules for Describing Recurrent Events
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/9780691167084.003.0004

The chapter discusses a particular way of producing rules to summarize the nature of the recurrent events. These rules come from the idea that the data incorporating the recurrent event can be captured by models that specify a number of regimes, and then using the information provided by the fitted model to date the recurrent event. The chapter discusses variants of Markov switching models in the context where there is only a single series in which the recurrent event is observed. It then deals with dating cycles with univariate series. Finally, it considers model-based rules for dating events with multivariate series.

Keywords:   recurrent events, Markov switching models, dating cycles, univariate series, model-based rules

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