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Asymmetries in Macroeconomic Time Series in Eleven Asian Economies

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  • Khurshid M. Kiani

    (Department of Economics, University of Nottingham, Ningbo, China)

Abstract

We investigate business cycle asymmetries in the real GDP of eleven selected Asian economies using nonlinear switching time series models and artificial neural networks. Results based on neural network linearity tests show evidence of business cycle asymmetries in all series. Results based on switching and augmented time series models also reveal business cycle asymmetries in most series studied.

Suggested Citation

  • Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
    • Handle: RePEc:ijb:journl:v:8:y:2009:i:1:p:37-54
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    Cited by:

    1. Khurshid Kiani, 2011. "Fluctuations in Economic and Activity and Stabilization Policies in the CIS," Computational Economics, Springer;Society for Computational Economics, vol. 37(2), pages 193-220, February.
    2. Panayotis G. Michaelides & Efthymios G. Tsionas & Angelos T. Vouldis & Konstantinos N. Konstantakis & Panagiotis Patrinos, 2018. "A Semi-Parametric Non-linear Neural Network Filter: Theory and Empirical Evidence," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 637-675, March.

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    More about this item

    Keywords

    real GDP growth rates; fat tails; stable distributions; neural networks; out-of-sample forecasts; long memory; nonlinearities; business cycles;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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