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Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series

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Author Info
Jorge Belaire-Franch (University of Valencia, Spain)
Amado Peiro (University of Valencia, Spain)

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Abstract

This paper examines conditional and unconditional asymmetries in the Nelson and Plosser dataset by using two tests recently proposed by Jushan Bai and Serena Ng. In line with previous research, the results show that asymmetry is not a proper characterization of most macroeconomic series, although labor variables like employment and the unemployment rate present unconditional asymmetries.

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

Volume (Year): 7 (2003)
Issue (Month): 1 ()
Pages: 1108-1108
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Handle: RePEc:bep:sndecm:7:2003:1:1108-1108

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Related research
Keywords: asymmetry business cycles symmetry

References listed on IDEAS
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.:

  1. Koop, Gary & Potter, Simon M, 1999. "Dynamic Asymmetries in U.S. Unemployment," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(3), pages 298-312, July.
    Other versions:
  2. Michael Boldin, 1999. "Should Policy Makers Worry about Asymmetries in the Business Cycle?," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 3(4), pages 203-220. [Downloadable!] (restricted)
  3. Zwick, Thomas, 1999. "Innovations induce asymmetric employment movements," ZEW Discussion Papers 99-24, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  4. Randal J. Verbrugge, 1998. "A cross-country investigation of macroeconomic asymmetries," Macroeconomics 9809017, EconWPA, revised 30 Sep 1998. [Downloadable!]
  5. C Pissarides & D Mortensen, 1993. "Job Creation and Job Destruction in the Theory of Unemployment," CEP Discussion Papers 0110, Centre for Economic Performance, LSE.
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  6. Hussey, Robert, 1992. "Nonparametric evidence on asymmetry in business cycles using aggregate employment time series," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 217-231. [Downloadable!] (restricted)
  7. Falk, Barry, 1986. "Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1096-1109, October. [Downloadable!] (restricted)
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  8. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," Working papers 427, Massachusetts Institute of Technology (MIT), Department of Economics.
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  9. Acemoglu, Daron & Scott, Andrew, 1994. "Asymmetries in the Cyclical Behaviour of UK Labour Markets," Economic Journal, Royal Economic Society, vol. 104(427), pages 1303-23, November. [Downloadable!] (restricted)
  10. Jushan Bai & Serena Ng, 2001. "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Boston College Working Papers in Economics 501, Boston College Department of Economics. [Downloadable!]
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  11. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-66, July. [Downloadable!] (restricted)
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  12. Westlund, Anders H & Ohlen, Sven, 1991. "On Testing for Symmetry in Business Cycles," Empirical Economics, Springer, vol. 16(4), pages 479-502.
  13. McQueen, Grant & Thorley, Steven, 1993. "Asymmetric business cycle turning points," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 341-362, June. [Downloadable!] (restricted)
  14. Randal Verbrugge Randal Verbrugge, 1997. "Investigating Cyclical Asymmetries," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(1), pages 15-22. [Downloadable!] (restricted)
  15. Kontolemis, Zenon G, 1997. "Does Growth Vary over the Business Cycle? Some Evidence from the G7 Countries," Economica, London School of Economics and Political Science, vol. 64(255), pages 441-60, August. [Downloadable!] (restricted)
  16. Davis, Steven J & Haltiwanger, John C, 1992. "Gross Job Creation, Gross Job Destruction, and Employment Reallocation," The Quarterly Journal of Economics, MIT Press, vol. 107(3), pages 819-63, August. [Downloadable!] (restricted)
    Other versions:
  17. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec.. [Downloadable!] (restricted)
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  18. W.A. Razzak, 2001. "Business Cycle Asymmetries: International Evidence," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(1), pages 230-243, January. [Downloadable!] (restricted)
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  19. Jeong-Ryeol Kim & Stefan Mittnik & Svetlozar Rachev, 1996. "Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 1(3), pages 131-143. [Downloadable!] (restricted)
  20. Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July. [Downloadable!] (restricted)
  21. Blake LeBaron, 1997. "A Fast Algorithm for the BDS Statistic," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 2(2), pages 53-59. [Downloadable!] (restricted)
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.)

  1. McKay, Alisdair & Reis, Ricardo, 2006. "The Brevity and Violence of Contractions and Expansions," CEPR Discussion Papers 5756, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  2. Maasoumi, Esfandiar & Racine Jeff, 2003. "A Robust Entropy-Based Test for Asymmetry," Departmental Working Papers 0508, Southern Methodist University, Department of Economics. [Downloadable!]
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