Monday, October 31, 2016
Econometric Analysis of Recurrent Events
Don Harding and Adrian Pagan have a fascinating new book (HP) that just arrived in the snail mail. Partly HP has a retro feel (think: Bry-Boshan (BB)) and partly it has a futurist feel (think: taking BB to wildly new places). Notwithstanding the assertion in the conclusion of HP's first chapter (here), I remain of the Diebold-Rudebusch view that Hamilton-style Markov switching remains the most compelling way to think about nonlinear business-cycle events like "expansions" and "recessions" and "peaks" and "troughs". At the very least, however, HP has significantly heightened my awareness and appreciation of alternative approaches. Definitely worth a very serious read.