@techreport{Knuppel2004Testing,
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.},
author = {Malte Kn\"{u}ppel},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C22; C12; 330; asymmetry; deepness; steepness; Markov-switching; business cycles; Zeitreihenanalyse; Statistischer Test; Konjunktur},
language = {eng},
number = {2004,41},
title = {Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept},
type = {Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank},
url = {http://hdl.handle.net/10419/19508},
year = {2004}
}
