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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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Measuring Recurrent Event Features in Univariate Data

Measuring Recurrent Event Features in Univariate Data

Chapter:
(p.86) Chapter 5 Measuring Recurrent Event Features in Univariate Data
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/9780691167084.003.0005

This chapter begins with a discussion of why we would expect to find that the time spent in expansions (bull markets, etc.) would be much greater than the time spent in contractions (bear markets, etc.). By focusing on the probabilities of getting particular outcomes for the binary variables summarizing the recurrent events, we can provide an explanation of this long-observed feature. The remainder of the chapter looks at many proposals for summarizing other features of the recurrent events. These involve well-known quantities such as durations and amplitudes, as well as lesser known ones, such as the sharpness of peaks and troughs.

Keywords:   time, expansion, contraction, recurrent events, durations, amplitudes, peaks, troughs

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