Another Look at Swedish Business Cycles, 1861-1988
AbstractThis paper considers nine long Swedish macroeconomic time series whose business cycle properties were discussed by Englund, Persson, and Svensson (1992) using frequency domain techniques. It is found by testing that all but two of the logarithmed and difference series are non-linear. The observed nonlinearity is characterized by STAR models. The statistical and dynamic properties of the estimated STAR models are investigated using, among other things, parametrically estimated ‘local’ or ‘sliced’ spectra. Cyclical variation at business cycle frequencies does not seem to be constant over time for all series, and it is difficult to find a ‘Swedish business cycle’. Only two series may be regarded as having genuinely assymetric cyclical variation. Standard Granger non-causality tests are adapted to the nonlinear (STAR) case, and the null hypothesis of noncausality is tested for pairs of series. The results point at strong temporal interactions between series. They also indicate that the assumption of functional form (linear or STAR) strongly affects the outcome of these pairwise tests.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 130.
Length: 58 pages
Date of creation: Nov 1996
Date of revision:
Publication status: Published in Journal of Applied Econometrics, 1999, pages 359-378.
Note: This is the working paper version appearing in the References of the published version (Journal of Applied Econometrics 14, 359-378 (1999).
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Granger causality; model spectrum; linearity test; time series model; nonlinearity; smooth transition autoregression;
Other versions of this item:
- Skalin, Joakim & Terasvirta, Timo, 1999. "Another Look at Swedish Business Cycles, 1861-1988," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 359-78, July-Aug..
- J. Skalin & T. Teräsvirta, 1996. "Another Look at Swedish Business Cycles, 1861-1988," SFB 373 Discussion Papers 1996,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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