Second-order moments of frequency asymmetric cycles
AbstractSecond-order moments, as even functions in time, are conventionally regarded as containing no information about the time irreversible nature of a sequence and therefore about its frequency asymmetry. However, this paper shows that the frequency asymmetry produces a clearly distinct behaviour in second-order moments that can be observed in both the time domain and the frequency domain. In addition, a frequency domain method of estimation of the differing lengths of the recessionary and expansionary stages of a cycle is proposed and its finite sample performance evaluated. Finally, the asymmetric patterns in the waves of the US unemployment rate and in the sunspot index are analysed.
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Bibliographic InfoPaper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2011-27.
Length: 56 pages
Date of creation: Dec 2011
Date of revision:
Publication status: Published by Ivie
frequency asymmetry; time irreversibility; periodogram; correlogram; business cycle;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-03 (All new papers)
- NEP-ECM-2012-01-03 (Econometrics)
- NEP-ETS-2012-01-03 (Econometric Time Series)
- NEP-MST-2012-01-03 (Market Microstructure)
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