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https://hdl.handle.net/10419/19508
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Knüppel, Malte | en |
dc.date.accessioned | 2009-01-28T15:59:03Z | - |
dc.date.available | 2009-01-28T15:59:03Z | - |
dc.date.issued | 2004 | - |
dc.identifier.uri | http://hdl.handle.net/10419/19508 | - |
dc.description.abstract | 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 1 |x2004,41 | en |
dc.subject.jel | C22 | en |
dc.subject.jel | C12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | asymmetry | en |
dc.subject.keyword | deepness | en |
dc.subject.keyword | steepness | en |
dc.subject.keyword | Markov-switching | en |
dc.subject.keyword | business cycles | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Statistischer Test | en |
dc.subject.stw | Konjunktur | en |
dc.title | Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 480964513 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp1:2919 | en |
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