Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series
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.
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Volume (Year): 7 (2003)
Issue (Month): 1 (April)
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