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Asymmetric Cycles and Temporal Aggregation

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Author Info

  • 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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Bibliographic Info

Paper provided by Uppsala - Working Paper Series in its series Papers with number 1995-11.

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Length: 12 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:fth:uppaal:1995-11

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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
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Web page: http://www.nek.uu.se/
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Keywords: TIME SERIES; UNEMPLOYMENT;

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Cited by:
  1. Dick van Dijk & Timo Terasvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models — A Survey Of Recent Developments," Econometric Reviews, Taylor and Francis Journals, vol. 21(1), pages 1-47.
  2. Taştan, Hüseyin, 2011. "Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry," MPRA Paper 34302, University Library of Munich, Germany.
  3. Kurt Brannas & Albina Soultanaeva, 2011. "Influence of news from Moscow and New York on returns and risks of Baltic States’ stock markets," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 11(1), pages 109-124, July.
  4. Abbas Valadkhani & Sajid Anwar & Amir Arjonandi, 2012. "How to capture the full extent of price stickiness in credit card interest rates?," Economics Working Papers wp12-02, School of Economics, University of Wollongong, NSW, Australia.
  5. Terence Mills, 2001. "Business cycle asymmetry and duration dependence: An international perspective," Journal of Applied Statistics, Taylor and Francis Journals, vol. 28(6), pages 713-724.
  6. Brännäs, Kurt, 2003. "Temporal Aggregation of the Returns of a Stock Index Series," UmeÃ¥ Economic Studies 614, Umeå University, Department of Economics.
  7. Forslund, Anders & Kolm, Ann-Sofie, 2000. "Active labour market policies and real-wage determination - Swedish evidence," Working Paper Series 2000:7, IFAU - Institute for Evaluation of Labour Market and Education Policy.
  8. Brännäs, Kurt & Soultanaeva, Albina, 2006. "Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices," UmeÃ¥ Economic Studies 696, Umeå University, Department of Economics.
  9. Schorderet, Yann, 2001. "Revisiting Okun's Law: An Hysteretic Perspective," University of California at San Diego, Economics Working Paper Series qt2fb7n2wd, Department of Economics, UC San Diego.
  10. Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2002. "A smooth-transition model of the Australian unemployment rate," Working Paper Series 1002, Department of Economics, Norwegian University of Science and Technology, revised 01 Jul 2003.

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