The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

he Lecture looked at the description of recurrent events and the use of this information for prediction and analysis of econometric models. Recurrent events come in many forms ranging from business and financial cycles to crises. At the most basic level recurrent events are summarized by binary indicators, although there can be higher order extensions involving multiple categorical variables. Because the indicators are constructed either directly from data or indirectly by models such as Markov Switching that use data, they have different properties to those arising in microeconometrics, and so how one uses them depends on a lot upon the method of construction. In the event model-based methods are used it is crucial to check the properties of the model used. The Lecture looks at the both analytical and descriptive work on all of these topics.

Adrian Pagan is Professor of Economics in the School of Economics at the University of Sydney. He has published many papers in the area of theoretical and applied econometrics. He is a Fellow of the Academy of Social Sciences, the Econometric Society and the Journal of Econometrics; a Medallist Fellow of the Modelling and Simulation Society of Australia and New Zealand; has been made a Distinguished Fellow of the Economic Society of Australia and was awarded a Centenary Medal at the Centennial of Australian Federation.