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

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Author Info

  • Belaire-Franch Jorge

    ()
    (University of Valencia, Spain)

  • Peiro Amado

    ()
    (University of Valencia, Spain)

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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File URL: http://www.degruyter.com/view/j/snde.2003.7.1/snde.2003.7.1.1108/snde.2003.7.1.1108.xml?format=INT
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Bibliographic Info

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

Volume (Year): 7 (2003)
Issue (Month): 1 (April)
Pages: 1-19

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Handle: RePEc:bpj:sndecm:v:7:y:2003:i:1:n:4

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Cited by:
  1. McKay, Alisdair & Reis, Ricardo, 2008. "The brevity and violence of contractions and expansions," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 738-751, May.
  2. Matteo Grigoletto & Francesco Lisi, 2011. "Practical implications of higher moments in risk management," Statistical Methods and Applications, Springer, vol. 20(4), pages 487-506, November.
  3. Narayan, Paresh Kumar & Popp, Stephan, 2009. "Can the electricity market be characterised by asymmetric behaviour?," Energy Policy, Elsevier, vol. 37(11), pages 4364-4372, November.
  4. Esfandiar Maasoumi & Jeffrey Racine, 2009. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 246-261.
  5. Maasoumi, Esfandiar & Racine Jeff, 2003. "A Robust Entropy-Based Test for Asymmetry," Departmental Working Papers 0508, Southern Methodist University, Department of Economics.

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