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Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series

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  • Belaire-Franch Jorge

    (University of Valencia, Spain)

  • Peiro Amado

    (University of Valencia, Spain)

Abstract

This paper examines conditional and unconditional asymmetries in the Nelson and Plosser dataset by using two tests recently proposed by Jushan Bai and Serena Ng. In line with previous research, the results show that asymmetry is not a proper characterization of most macroeconomic series, although labor variables like employment and the unemployment rate present unconditional asymmetries.

Suggested Citation

  • Belaire-Franch Jorge & Peiro Amado, 2003. "Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(1), pages 1-19, April.
    • Handle: RePEc:bpj:sndecm:v:7:y:2003:i:1:n:4
    DOI: 10.2202/1558-3708.1108
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    References listed on IDEAS

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