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Asymmetry in economic time series and the simultaneous switching autoregressive model

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  • Kunitomo, Naoto
  • Sato, Seisho
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    File URL: http://www.sciencedirect.com/science/article/B6VFN-3VW1F76-1/2/e605c58c527ce4a92b1ac9b39b971233
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    Bibliographic Info

    Article provided by Elsevier in its journal Structural Change and Economic Dynamics.

    Volume (Year): 7 (1996)
    Issue (Month): 1 (March)
    Pages: 1-34

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    Handle: RePEc:eee:streco:v:7:y:1996:i:1:p:1-34

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    Web page: http://www.elsevier.com/locate/inca/525148

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    1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
    2. Neftci, Salih N, 1993. "Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle?," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 215-24, April.
    3. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
    4. C. Gourieroux & Jean-Jacques Laffont & A. Monfort, 1979. "Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes," NBER Working Papers 0343, National Bureau of Economic Research, Inc.
    5. Laffont, Jean-Jacques & Garcia, Rene, 1977. "Disequilibrium Econometrics for Business Loans," Econometrica, Econometric Society, vol. 45(5), pages 1187-1204, July.
    6. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, October.
    7. Anderson, T. W. & Kunitomo, Naoto, 1992. "Asymptotic distributions of regression and autoregression coefficients with martingale difference disturbances," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 221-243, February.
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    Cited by:
    1. Koji Miyawaki & Yasuhiro Omori & Akira Hibiki, 2009. "Bayesian Estimation of Demand Functions under Block Rate Pricing," CIRJE F-Series CIRJE-F-631, CIRJE, Faculty of Economics, University of Tokyo.
    2. Hili, Ouagnina, 2001. "Hellinger distance estimation of SSAR models," Statistics & Probability Letters, Elsevier, vol. 53(3), pages 305-314, June.

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