Modelling Recession in Two European Countries: the Generalized BHAR model


The time series of German and Italian recessions are analyzed using a novel approach for binary time series introduced in [19]. 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.

DOI Code: 10.1285/i20705948v7n1p132

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