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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19508Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Knüppel, Malte | - |
| dc.date | 2004 | - |
| dc.date.accessioned | 2013-10-16T07:05:22Z | - |
| dc.date.available | 2013-10-16T07:05:22Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19508 | - |
| dc.identifier | ppn:480964513 | - |
| dc.identifier | RePEc:zbw:bubdp1:2919 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19508 | - |
| dc.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. | - |
| dc.language | eng | - |
| dc.relation | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2004,41 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | C22 | - |
| dc.subject | C12 | - |
| dc.subject | ddc:330 | - |
| dc.subject | asymmetry | - |
| dc.subject | deepness | - |
| dc.subject | steepness | - |
| dc.subject | Markov-switching | - |
| dc.subject | business cycles | - |
| dc.subject | Zeitreihenanalyse | - |
| dc.subject | Statistischer Test | - |
| dc.subject | Konjunktur | - |
| dc.title | Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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