I intend to empirically investigate the factors which affect Bulgaria's business cycle. Can you direct me to empirical studies where the business cycle phase is a binary dependent variable?
If I understand correctly, you mean a business subject to two states: recession and expansion. You can model the probability of the two states endogenously with a markow switching model, so that nonlinearities with respect to time arise with regard to the variables of interest (if any)
I mean, for example you might want to know how aggregates of interest respond heterogenously in expansion and recession
Dear Ivan, I suggest to you the followings:
1) Hamberg U. and Verstanding D. (2009), Applying logistic regression models on business cycle prediction, Stockholm School of Economics
http://arc.hhs.se/download.aspx?MediumId=680
2) Nyberg H. (2012), A bivariate autoregressive probit model: business cycles linkages and transmission of recession probabilities, University of Helsinki
http://blogs.helsinki.fi/hknyberg/files/2012/06/Bivariate_probit_bc.pdf
3) Pestova A. (2015), Leading indicators of business cycle: dynamic logit model for OECD countries and Russia, National Research University, Higher School of Economics, wp brp 94/ec/2015
https://www.hse.ru/data/2015/04/30/1098216038/94EC2015.pdf
4) Dueker M. and Wewsche K. (2001), European business cycles: new indices and analysis of their synchronicity, Federal Reserve Bank of St. Louis, working paper 1999-019B
https://research.stlouisfed.org/wp/1999/1999-019.pdf
- Badges
- Science topic
- Similar topics
- Mathematics
- Statistics
- Regression