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Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models

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  • Proietti Tommaso

    ()
    (Università di Udine)

Abstract

This paper aims at testing and modeling business-cycle asymmetries within a structural time-series framework, allowing for smooth transition in the parameters characterizing the cyclical component, namely, the damping factor and the frequency. An LM test of linearity is derived, and illustrations are provided with reference to a set of quarterly U.S. industrial production series for two-digit manufacturing industries.

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File URL: http://www.degruyter.com/view/j/snde.1998.3.3/snde.1998.3.3.1045/snde.1998.3.3.1045.xml?format=INT
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Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 3 (1998)
Issue (Month): 3 (October)
Pages: 1-18

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Handle: RePEc:bpj:sndecm:v:3:y:1998:i:3:n:2

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Cited by:
  1. Monica Billio & Massimiliano Caporin & Guido Cazzavillan, 2007. "Dating EU15 monthly business cycle jointly using GDP and IPI," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2007(3), pages 333-366.
  2. repec:hal:cesptp:halshs-00185372 is not listed on IDEAS
  3. Dominique Guegan & Laurent Ferrara, 2005. "Detection of the Industrial Business Cycle using SETAR models," Post-Print halshs-00201309, HAL.
  4. repec:hal:journl:halshs-00185372 is not listed on IDEAS
  5. repec:hal:cesptp:halshs-00368358 is not listed on IDEAS
  6. Emilio Zanetti Chini, 2013. "Generalizing smooth transition autoregressions," CREATES Research Papers 2013-32, School of Economics and Management, University of Aarhus.
  7. Proietti, Tommaso, 2000. "Leave-k-out diagnostics in state space models," SFB 373 Discussion Papers 2000,74, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  8. Singh, Tarlok, 2014. "On the regime-switching and asymmetric dynamics of economic growth in the OECD countries," Research in Economics, Elsevier, vol. 68(2), pages 169-192.
  9. Garcia-Ferrer, Antonio & Queralt, Ricardo & Blazquez, Cristina, 2001. "A growth cycle characterisation and forecasting of the Spanish economy: 1970-1998," International Journal of Forecasting, Elsevier, vol. 17(3), pages 517-532.
  10. repec:hal:journl:halshs-00423890 is not listed on IDEAS

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