Autoregressive-asymmetric moving average models for business-cycle data
1994 (English)In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 13, no 6, 529-544 p.Article in journal (Refereed) Published
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.
Place, publisher, year, edition, pages
1994. Vol. 13, no 6, 529-544 p.
times series, nonlinear, estimation, wald test, forecasting, application
IdentifiersURN: urn:nbn:se:umu:diva-65000DOI: 10.1002/for.3980130605ISI: A1994PQ92000004OAI: oai:DiVA.org:umu-65000DiVA: diva2:603006