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Autoregressive-asymmetric moving average models for business-cycle data
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
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
Abstract [en]

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.
Keyword [en]
times series, nonlinear, estimation, wald test, forecasting, application
National Category
Economics
Identifiers
URN: urn:nbn:se:umu:diva-65000DOI: 10.1002/for.3980130605ISI: A1994PQ92000004OAI: oai:DiVA.org:umu-65000DiVA: diva2:603006
Available from: 2013-02-04 Created: 2013-02-04 Last updated: 2017-12-06Bibliographically approved

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