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

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  • Bidarkota Prasad V.

    (Kansas State University)

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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Bibliographic Info

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

Volume (Year): 3 (1999)
Issue (Month): 4 (January)
Pages: 1-12

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Handle: RePEc:bpj:sndecm:v:3:y:1999:i:4:n:2

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Cited by:
  1. Oleg Korenok & Bruce Mizrach & Stan Radchenko, 2004. "The Microeconomics of Macroeconomic Asymmetries: Sectoral Driving Forces and Firm Level Characteristics," Departmental Working Papers, Rutgers University, Department of Economics 200405, Rutgers University, Department of Economics.
  2. 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.
  3. Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F., 2003. "A multi-level panel smooth transition autoregression for US sectoral production," Econometric Institute Research Papers EI 2003-43, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  4. Khurshid M. Kiani, 2007. "Asymmetric Business Cycle Fluctuations and Contagion Effects in G7 Countries," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(3), pages 237-253, December.
  5. 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., John Wiley & Sons, Ltd., vol. 20(6), pages 811-827.
  6. Khurshid Kiani, 2005. "Detecting Business Cycle Asymmetries Using Artificial Neural Networks and Time Series Models," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 26(1), pages 65-89, August.
  7. Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
  8. 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, Euro-American Association of Economic Development, vol. 6(3).
  9. KIANI, Khurshid M., 2007. "Business Cycle Asymmetries In Stock Returns: Robust Evidence," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 4(2), pages 99-120.

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