Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/19508 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorKnüppel, Malteen
dc.date.accessioned2009-01-28T15:59:03Z-
dc.date.available2009-01-28T15:59:03Z-
dc.date.issued2004-
dc.identifier.urihttp://hdl.handle.net/10419/19508-
dc.description.abstractIn 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.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2004,41en
dc.subject.jelC22en
dc.subject.jelC12en
dc.subject.ddc330en
dc.subject.keywordasymmetryen
dc.subject.keyworddeepnessen
dc.subject.keywordsteepnessen
dc.subject.keywordMarkov-switchingen
dc.subject.keywordbusiness cyclesen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwStatistischer Testen
dc.subject.stwKonjunkturen
dc.titleTesting for business cycle asymmetries based on autoregressions with a Markov-switching intercept-
dc.typeWorking Paperen
dc.identifier.ppn480964513en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:2919en

Datei(en):
Datei
Größe
537.7 kB





Publikationen in EconStor sind urheberrechtlich geschützt.