Nonlinearities in Swiss macroeconomic data
AbstractUp until lately, studies on asymmetric business cycles focused on U.S. data and were mainly based on univariate analysis. This paper extends the literature beyond U.S. data in studying Swiss macroeconomic data for which almost no empirical research is available so far. Secondly, this paper applies specific tests to differently detrended data, thus studying the robustness of the results taking the frequency characteristics of the data into account. Thirdly, multivariate tests will be restricted in order to pin down the underlying source of nonlinearity and its transmission channel, focussing mainly on possible nonlinear effects of money supply.
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Bibliographic InfoArticle provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.
Volume (Year): 138 (2002)
Issue (Month): I (March)
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More information through EDIRC
Asymmetry; linearity tests STAR model;
Find related papers by JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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