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Asymmetric Cycles and Temporal Aggregation

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  • Brannas, K.
  • Ohlsson, H.

Abstract

The detection of nonlinearities could depend on the sampling frequency. Asymmetric monthly series may become symmetric when aggregated to quarterly or annual frequencies. We test against nonlinearity using the nonlinear autoregressive asymmetric moving average (ARasMA) model, which nests the linear ARMA model as a special case. Using monthly, quarterly, and annual Swedish unemployment series, we find support for symmetry/linearity in the annual series but not in the monthly and quarterly series. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
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Suggested Citation

  • Brannas, K. & Ohlsson, H., 1995. "Asymmetric Cycles and Temporal Aggregation," Papers 1995-11, Uppsala - Working Paper Series.
    • Handle: RePEc:fth:uppaal:1995-11
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    References listed on IDEAS

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    6. Wesley Clair Mitchell, 1927. "Business Cycles: The Problem and Its Setting," NBER Books, National Bureau of Economic Research, Inc, number mitc27-1, March.
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    Keywords

    TIME SERIES; UNEMPLOYMENT;

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