Applying Shape and Phase Restrictions in Generalized Dynamic Categorical Models of the Business Cycle

Don Harding

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: To match the NBER business cycle features it is necessary to employ Gen- eralised dynamic categorical (GDC) models that impose certain phase re- strictions and permit multiple indexes. Theory suggests additional shape re- strictions in the form of monotonicity and boundedness of certain transition probabilities. Maximum likelihood and constraint weighted bootstrap esti- mators are developed to impose these restrictions. In the application these estimators generate improved estimates of how the probability of recession varies with the yield spread.

JEL-codes: C22 C53 E32 E37 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2010-09
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Citations: View citations in EconPapers (4)

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https://cama.crawford.anu.edu.au/sites/default/fil ... /25_harding_2010.pdf (application/pdf)

Related works:
Working Paper: Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle (2010)
Working Paper: Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle (2010)
Working Paper: Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2010-25

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