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Economic Analysis and Prediction of Recurrent Events

2013
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Release : 2013
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Book Synopsis Economic Analysis and Prediction of Recurrent Events by : Adrian Pagan

Download or read book Economic Analysis and Prediction of Recurrent Events written by Adrian Pagan. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: Economic events such as expansions and recessions in economic activity, bull and bear markets in stock prices and financial crises have long attracted substantial interest. In recent times there has been a focus upon predicting the events and constructing Early Warning Systems of them. Econometric analysis of such recurrent events is however in its infancy. One can represent the events as a set of binary indicators. However they are different to the binary random variables studied in micro-econometrics, being constructed from some (possibly) continuous data. The lecture discusses what difference this makes to their econometric analysis. It sets out a framework which deals with how the binary variables are constructed, what an appropriate estimation procedure would be, and the implications for the prediction of them. An example based on Turkish business cycles is used throughout the lecture.

The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

2016-07-26 Business & Economics
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Release : 2016-07-26
Genre : Business & Economics
Kind : eBook
Book Rating : 087/5 ( reviews)

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Book Synopsis The Econometric Analysis of Recurrent Events in Macroeconomics and Finance by : Don Harding

Download or read book The Econometric Analysis of Recurrent Events in Macroeconomics and Finance written by Don Harding. This book was released on 2016-07-26. Available in PDF, EPUB and Kindle. Book excerpt: The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the most basic level, such recurrent events can be summarized using binary indicators showing if the event will occur or not. These indicators are constructed either directly from data or indirectly through models. Because they are constructed, they have different properties than those arising in microeconometrics, and how one is to use them depends a lot on the method of construction. 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.

Econometric Analysis and Prediction of Recurrent Events

2011
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Release : 2011
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Book Synopsis Econometric Analysis and Prediction of Recurrent Events by : Adrian R. Pagan

Download or read book Econometric Analysis and Prediction of Recurrent Events written by Adrian R. Pagan. This book was released on 2011. Available in PDF, EPUB and Kindle. Book excerpt:

The Statistical Analysis of Recurrent Events

2007-08-02 Medical
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Release : 2007-08-02
Genre : Medical
Kind : eBook
Book Rating : 094/5 ( reviews)

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Book Synopsis The Statistical Analysis of Recurrent Events by : Richard J. Cook

Download or read book The Statistical Analysis of Recurrent Events written by Richard J. Cook. This book was released on 2007-08-02. Available in PDF, EPUB and Kindle. Book excerpt: This book presents models and statistical methods for the analysis of recurrent event data. The authors provide broad, detailed coverage of the major approaches to analysis, while emphasizing the modeling assumptions that they are based on. More general intensity-based models are also considered, as well as simpler models that focus on rate or mean functions. Parametric, nonparametric and semiparametric methodologies are all covered, with procedures for estimation, testing and model checking.

Recurrent Events Data Analysis for Product Repairs, Disease Recurrences, and Other Applications

2003-01-01 Technology & Engineering
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Release : 2003-01-01
Genre : Technology & Engineering
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Book Rating : 457/5 ( reviews)

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Book Synopsis Recurrent Events Data Analysis for Product Repairs, Disease Recurrences, and Other Applications by : Wayne B. Nelson

Download or read book Recurrent Events Data Analysis for Product Repairs, Disease Recurrences, and Other Applications written by Wayne B. Nelson. This book was released on 2003-01-01. Available in PDF, EPUB and Kindle. Book excerpt: Survival data consist of a single event for each population unit, namely, end of life, which is modeled with a life distribution. In contrast, many applications involve repeated-events data, where a unit may accumulate any number of events over time. Examples include the number and cost of repairs of products, the number and treatment costs of recurrent disease episodes in patients, and the number of childbirths to statisticians. This applied book provides practitioners with basic nonparametric methods for such data, particularly the plot of the estimate of the population mean cumulative function (MCF), which yields most of the information sought. Recurrent Events Data Analysis for Product Repairs, Disease Recurrences, and Other Applications is the first book to present a simple, unified theory that includes data on costs or other "values" of discrete events, not just the number of events. It surveys computer programs that calculate and plot the MCF estimate with confidence limits, shows their output, and explains how to interpret such plots. Many such calculations can be easily done with a pocket calculator or spreadsheet program. Also, the book introduces basic Poisson and Cox regression models and parametric models, including homogeneous and nonhomogeneous Poisson processes and renewal processes.

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