An Econometric Analysis of Some Models for Constructed Binary Time Series
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چکیده
منابع مشابه
An Econometric Analysis of Some Models for Constructed Binary Time Series
Macroeconometric and nancial researchers often use binary data constructed in a way that creates serial dependence. We show that this dependence can be allowed for if the binary states are treated as Markov processes. In addition, the methods of construction ensure that certain sequences are never observed in the constructed data. Together these features make it di¢ cult to utilize static and ...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2011
ISSN: 0735-0015,1537-2707
DOI: 10.1198/jbes.2009.08005