Econometric analysis of recurrent events in macroeconomics and finance / Don Harding and Adrian Pagan.

Includes bibliographical references and index.

1. Overview --
2. Methods for describing oscillations, fluctuations, and Methods for describing oscillations, fluctuations, and cycles in univariate series --
3. Constructing reference cycles with multivariate information --
4. Model-based rules for describing recurrent events --
5. Measuring recurrent event features in univariate data --
6. Measuring synchronization of recurrent events in multivariate data --
7. Accounting for observed cycle features with a range of statistical models --
8. Using the recurrent event binary states to examine economic modeling issues --
9. Predicting turning points and recessions.

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.