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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19508| Title: | Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept |
| Keywords: | C22 C12 ddc:330 asymmetry deepness steepness Markov-switching business cycles Zeitreihenanalyse Statistischer Test Konjunktur |
| Issue Date: | 16-Oct-2013 |
| Description: | In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of skewness of first-order autoregressive processes with a Markov-switching intercept and the coefficient of skewness of the first differences of these processes. For the special case of two states, we present the parameter restrictions leading to non-deepness and non-steepness. We show that these restrictions imply that the conclusions of Clements & Krolzig (2003) with respect to asymmetries of processes with a Markov-switching intercept are not correct. Finally, we apply the results to U.S. GDP which is found to exhibit strongly significant deepness and steepness. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19508 |
| Other Identifiers: | http://hdl.handle.net/10419/19508 ppn:480964513 RePEc:zbw:bubdp1:2919 |
| Appears in Collections: | EconStor |
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