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Autoregressive-asymmetric moving average models for business cycle data

✍ Scribed by Kurt Brånnås; Jan G. De Gooijer

Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
887 KB
Volume
13
Category
Article
ISSN
0277-6693

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✦ Synopsis

Much business cycle research is based on an assumption of symmetric cycles, though it is frequently argued that the downturns are steeper and more short-lived than the upturns; implying cyclical asymmetries. A new class of nonlinear autoregressive-asymmetric moving average models is introduced. These models are able to deal with symmetric as well as asymmetric phenomena. A likelihood estimation procedure and a Wald test statistic for symmetry are presented. Evidence of asymmetry is found in US real GNP growth rates.

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