Applying shape and phase restrictions in generalized dynamic categorical models of the business cycle

Don Harding

No 58, NCER Working Paper Series from National Centre for Econometric Research

Abstract: To match the NBER business cycle features it is necessary to employ Generalised dynamic categorical (GDC) models that impose certain phase restrictions and permit multiple indexes. Theory suggests additional shape restrictions in the form of monotonicity and boundedness of certain transition probabilities. Maximum likelihood and constraint weighted bootstrap estimators 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.

Keywords: Generalized dynamic categorical model, Business cycle; binary variable, Markov process, probit model, yield curve (search for similar items in EconPapers)
JEL-codes: C22 C53 E32 E37 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2010-07-28
New Economics Papers: this item is included in nep-bec
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Citations: View citations in EconPapers (4)

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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:qut:auncer:2010_05

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