Testing for Asymmetries in UK Macroeconomic Time Series
This paper examines the asymmetric properties of a broad range of quarterly postwar U.K. macroeconomic time series using recently developed test statistics for contractionary 'deepness' and 'steepness' relative to trend. The authors also examine the robustness of these test statistics to two alternative methods of detrending, namely Hodrick-Prescott filtering and structural time-series modeling. They find strong corroborative evidence of asymmetric steepness relative to trend in durable consumption, total investment, investment in plant and machinery, exports, and unemployment. The authors find weaker evidence of asymmetric deepness in savings, exports, labor hours, consumption, and unemployment. Copyright 1998 by Scottish Economic Society.
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Volume (Year): 45 (1998)
Issue (Month): 2 (May)
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