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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 Synchronization of Recurrent Events in Multivariate Data

Measuring Synchronization of Recurrent Events in Multivariate Data

Chapter:
(p.107) Chapter 6 Measuring Synchronization of Recurrent Events in Multivariate 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/9780691167084.003.0006

This chapter presents methods for capturing the synchronization of recurrent events in bivariate and multiple series. The special features of the unconditional densities of binary series recommend the use of moment-based measures of synchronization. It looks at similarity across events in terms of a range of features, such as amplitudes. It then looks at the situation when model-based rules are used to define them, and further gives an application of the methods to studying the synchronization of cycles in industrial production across countries. The question often arises of whether there is synchronization of the events across a number of industries, countries, and so on. This involves multivariate synchronization and this is studied in the chapter. Finally, the chapter examines the relationship between the synchronization of cycles and the comovement in the continuous variables in which those cycles occur.

Keywords:   recurrent events, bivariate series, multiple series, synchronization, model-based rules, cycles

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