Investigating Cyclical Asymmetries
This paper accomplishes two goals. First, it introduces a powerful nonparametric test of asymmetry to the economics literature, namely, the triples test of Randles et al. (1980). Second, it documents the presence of two specific kinds of asymmetry in U.S. macroeconomic time series. Depth, or asymmetry in the distribution of a (detrended) series, is a feature of numerous economic time series; and steepness, or asymmetry in the distribution of first differences, is a feature of hours, employment, and the unemployment rate, but is absent from real GDP and aggregate industrial production. The pattern of asymmetries found provides guidelines for restricting the set of alternative nonlinear models from which to select in modeling these time series.
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Volume (Year): 2 (1997)
Issue (Month): 1 (April)
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