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Importance Assessment of Correlated Predictors in Business Cycles Classification

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  • Enache, Daniel
  • Weihs, Claus

Abstract

When trying to interpret estimated parameters the researcher is interested in the (relative) importance of the individual predictors. However, if the predictors are highly correlated, the interpretation of coefficients, e.g. as economic ?multipliers?, is not applicable in standard regression or classification models. The goal of this paper is to develop a procedure to obtain such measures of importance for classification methods and to apply them to models for the classification of german business cycle phases.

Suggested Citation

  • Enache, Daniel & Weihs, Claus, 2004. "Importance Assessment of Correlated Predictors in Business Cycles Classification," Technical Reports 2004,66, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200466
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    References listed on IDEAS

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    1. Weihs, Claus & Garczarek, Ursula, 2002. "Stability of multivariate representation of business cycles over time," Technical Reports 2002,20, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Michael C. Röhl & Claus Weihs & Winfried Theis, 2002. "Direct Minimization of Error Rates in Multivariate Classification," Computational Statistics, Springer, vol. 17(1), pages 29-46, March.
    3. Douglas M. Hawkins, 1973. "On the Investigation of Alternative Regressions by Principal Component Analysis," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(3), pages 275-286, November.
    4. Theis, Winfried & Vogtländer, Kai & Weihs, Claus, 1999. "Descriptive studies on stylized facts of the German business cycle," Technical Reports 1999,45, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    5. John R. Meyer & Daniel H. Weinberg, 1975. "On the Classification of Economic Fluctuations," NBER Chapters, in: Explorations in Economic Research, Volume 2, number 2, pages 167-202, National Bureau of Economic Research, Inc.
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