Asymmetric Cycles and Temporal Aggregation
AbstractThe 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. Â© 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology
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Bibliographic InfoPaper provided by Uppsala - Working Paper Series in its series Papers with number 1995-11.
Length: 12 pages
Date of creation: 1995
Date of revision:
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Postal: UPPSALA UNIVERSITY, DEPARTMENT OF ECONOMICS, S-751 20 UPPSALA SWEDEN.
Phone: + 46 18 471 25 00
Fax: + 46 18 471 14 78
Web page: http://www.nek.uu.se/
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TIME SERIES; UNEMPLOYMENT;
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Daniel E. Sichel, 1989.
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Working Paper Series / Economic Activity Section
93, Board of Governors of the Federal Reserve System (U.S.).
- Wesley Clair Mitchell, 1927. "Introductory pages to "Business Cycles: The Problem and Its Setting"," NBER Chapters, in: Business Cycles: The Problem and Its Setting, pages -23 National Bureau of Economic Research, Inc.
- Bentolila, Samuel & Bertola, Giuseppe, 1990. "Firing Costs and Labour Demand: How Bad Is Eurosclerosis?," Review of Economic Studies, Wiley Blackwell, vol. 57(3), pages 381-402, July.
- C Bean, 1992.
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dp0071, Centre for Economic Performance, LSE.
- Westlund, Anders H & Ohlen, Sven, 1991. "On Testing for Symmetry in Business Cycles," Empirical Economics, Springer, vol. 16(4), pages 479-502.
- Wesley Clair Mitchell, 1927. "Business Cycles: The Problem and Its Setting," NBER Books, National Bureau of Economic Research, Inc, number mitc27-1.
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