Mathematical and Quantitative Methods

摘要

In the aftermath of the global financial crisis, interest in analyzing recurrent economic phenomena such as recessions or episodes of tight credit conditions revived significantly. Against this backdrop, Don Harding and Adrian Pagan's book is an invaluable addition to the literature, as it provides a comprehensive review of methods that focus on understanding such recurrent events, with a particular emphasis on determining turning points and model-free analysis of cyclical dynamics in economic time series. The authors masterfully show that identifying turning points using simple prescribed rules can provide important insights, and build on solid statistical foundations. They illustrate common pitfalls in the utilization of popular trend-cycle decompositions, nonlinear models, binary event indicators, and predictive models in the context of business cycles. They also provide specific recommendations for practitioners to avoid such problems.