Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/19508
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dc.contributor.authorKnüppel, Malteen_US
dc.date.accessioned2009-01-28T15:59:03Z-
dc.date.available2009-01-28T15:59:03Z-
dc.date.issued2004en_US
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 leadingto 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.isoengen_US
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.-
dc.relation.ispartofseries|aDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank |x2004,41en_US
dc.subject.jelC22en_US
dc.subject.jelC12en_US
dc.subject.ddc330en_US
dc.subject.keywordasymmetryen_US
dc.subject.keyworddeepnessen_US
dc.subject.keywordsteepnessen_US
dc.subject.keywordMarkov-switchingen_US
dc.subject.keywordbusiness cyclesen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwKonjunkturen_US
dc.titleTesting for business cycle asymmetries based on autoregressions with a Markov-switching intercepten_US
dc.typeWorking Paperen_US
dc.identifier.ppn480964513en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:2919-

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