An Econometric Analysis of Some Models for Constructed Binary Time Series

DOI10.1198/JBES.2009.08005zbMath1209.91140OpenAlexW1969616231MaRDI QIDQ5392688

Don Harding, Adrian R. Pagan

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2009.08005

zbMATH Keywords

Markov processprobit modelbusiness cycleyield curvebinary variable

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Economic time series analysis (91B84)

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