Another look at Swedish business cycles, 1861–1988
✍ Scribed by Joakim Skalin; Timo Teräsvirta
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 242 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0883-7252
No coin nor oath required. For personal study only.
✦ Synopsis
The linearity of nine long Swedish macroeconomic time series, whose business cycle properties were discussed by , is tested and rejected for all but two. Non-linear (STAR) models are estimated, and their properties are investigated. Business cycle frequency variation does not seem to be constant over time for all series; it is dicult to ®nd a `Swedish business cycle'. Pairwise Granger non-causality tests are adapted to the STAR case, and non-causality is tested. The results point at strong temporal interactions and indicate that the functional form (linear or STAR) strongly aects the outcome of these tests.