المستودع الأكاديمي جامعة المدينة

Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept

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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


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