Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP

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Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP

Author Info

Prasad Bidarkota (Kansas State University)

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Prasad V. Bidarkota

Abstract

We investigate asymmetries in the conditional mean dynamics of four sectors of the U.S. GDP data. Since the statistical evidence on nonlinearities in the conditional mean could be influenced by the presence of outliers, or by a failure to model conditional heteroskedasticity, we explicitly account for outliers by assuming that the innovations are drawn from the stable family, and model time-varying volatility by a GARCH(1,1) process. We also allow for the possibility of long memory in the series with fractional differencing. Our results indicate only weak evidence of significant nonlinearities in the conditional mean in some sectors of the GDP.

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Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 3 (1999)
Issue (Month): 4 ()
Pages: 191-200
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Handle: RePEc:bep:sndecm:3:1999:4:191-200

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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Oleg Korenok & Bruce Mizrach, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Computing in Economics and Finance 2004 266, Society for Computational Economics. [Downloadable!]
Other versions:
- Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers 200405, Rutgers University, Department of Economics. [Downloadable!]
Prasad Bidarkota & Khurshid M. Kiani, 2003. "On Business Cycle Asymmetries in G7 Countries," Working Papers 0308, Florida International University, Department of Economics. [Downloadable!]
Other versions:
- Khurshid M. Kiani & Prasad V. Bidarkota, 2004. "On Business Cycle Asymmetries in G7 Countries," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(3), pages 333-351, 07. [Downloadable!] (restricted)
Khurshid M. KIANI & Terry L. KASTENS, 2006. "Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3). [Downloadable!] (restricted)
Dick van Dijk & Dennis Fok & Philip Hans Franses, 2005. "A multi-level panel STAR model for US manufacturing sectors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 811-827. [Downloadable!]

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