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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/19508
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Knüppel, Malte | | en_US |
| dc.date.accessioned | | 2009-01-28T15:59:03Z | | - |
| dc.date.available | | 2009-01-28T15:59:03Z | | - |
| dc.date.issued | | 2004 | | en_US |
| 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_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2004,41 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | asymmetry | | en_US |
| dc.subject.keyword | | deepness | | en_US |
| dc.subject.keyword | | steepness | | en_US |
| dc.subject.keyword | | Markov-switching | | en_US |
| dc.subject.keyword | | business cycles | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | Konjunktur | | en_US |
| dc.title | | Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 480964513 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:bubdp1:2919 | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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