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1. Modelling Recession in Two European Countries: the Generalized Binomial Heterogeneous Autoregressive Model.

Author

De Luca, Giovanni and Carfora, Alfonso

Subjects
*RECESSIONS, *MATHEMATICAL models, *BINOMIAL distribution, *AUTOREGRESSIVE models, *TIME series analysis
Abstract

The time series of German and Italian recessions are analyzed using a novel approach for binary time series introduced in Startz (2008). For the German recessions a purely autoregressive model for binary data has provided satisfactory results. For the Italian recessions, on the other hand, to reach a significant fit we have applied a model including some lags of the German driving economy. An interpretation in terms of short-run and long-run effects is proposed. [ABSTRACT FROM AUTHOR]

Published
2014
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