UNSPECIFIED. (2003) Business cycle asymmetries: Characterization and testing based on Markov-switching autoregressions. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 21 (1). pp. 196-211. ISSN 0735-0015

Full text not available from this repository.

Abstract

Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The tests of deepness, steepness, and sharpness are Wald statistics, which have standard asymptotics. For the standard two-regime model of expansions and contractions, deepness is shown to imply sharpness (and vice versa), whereas the process is always nonsteep. Two and three-state models of U.S. GNP growth are used to illustrate the approach, along with models of U.S. investment and consumption growth. The robustness of the tests to model misspecification, and the effects of regime-dependent heteroscedasticity, are investigated.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences Q Science > QA Mathematics
Journal or Publication Title:	JOURNAL OF BUSINESS & ECONOMIC STATISTICS
Publisher:	AMER STATISTICAL ASSOC
ISSN:	0735-0015
Date:	January 2003
Volume:	21
Number:	1
Number of Pages:	16
Page Range:	pp. 196-211
Identification Number:	10.1198/073500102288618892
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/9782

Data sourced from Thomson Reuters' Web of Knowledge

Request changes to a record

Actions (login required)

View Item