| 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 |
|