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Conditional asymmetries in real GNP: a semi-nonparametric approach

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  • Allan D. Brunner

Abstract

Two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances--linearity and Gaussianity. Together, these two assumptions place strong restrictions on the time series behavior of a model. Most important, these restrictions imply conditional symmetry. Using seminonparametric (SNP) techniques, this article presents evidence that real gross national product growth displays conditional asymmetry. Although these results confirm related results of Brock and Sayers, Sichel, and Hamilton, the SNP approach is novel in that it emphasizes the relationship between common modeling assumptions and the restrictions that these assumptions place on data.

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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 140.

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Date of creation: 1990
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Handle: RePEc:fip:fedgfe:140

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Keywords: Gross national product;

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