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Can non-linear time series models generate US business cycle asymmetric shape?

  • Beatriz C. Galvao, Ana

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File URL: http://www.sciencedirect.com/science/article/B6V84-460M781-7/2/e1360cb919e608fc7a6ad41789c7907b
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 77 (2002)
Issue (Month): 2 (October)
Pages: 187-194

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Handle: RePEc:eee:ecolet:v:77:y:2002:i:2:p:187-194
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Dijk, Dick van & Franses, Philip Hans, 1999. "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 3(03), pages 311-340, September.
  2. Pesaran, H.M. & Potter, S.M., 1995. "A Floor and Ceiling Model of U.S. Output," Cambridge Working Papers in Economics 9407, Faculty of Economics, University of Cambridge.
  3. Don Harding & Adrian Pagan, 2000. "Disecting the Cycle: A Methodological Investigation," Econometric Society World Congress 2000 Contributed Papers 1164, Econometric Society.
  4. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Western Economic Association International, vol. 31(2), pages 224-36, April.
  5. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
  6. McQueen, Grant & Thorley, Steven, 1993. "Asymmetric business cycle turning points," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 341-362, June.
  7. Elwood, S. Kirk, 1998. "Is the persistence of shocks to output asymmetric?," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 411-426, April.
  8. Gregory D. Hess & Shigeru Iwata, 1997. "Asymmetric persistence in GDP? A deeper look at depth," Research Working Paper 97-02, Federal Reserve Bank of Kansas City.
  9. King, Robert G. & Plosser, Charles I., 1994. "Real business cycles and the test of the Adelmans," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 405-438, April.
  10. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  11. Daniel E. Sichel, 1992. "Inventories and the three phases of the business cycle," Working Paper Series / Economic Activity Section 128, Board of Governors of the Federal Reserve System (U.S.).
  12. Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  13. Balke, Nathan S & Wynne, Mark A, 1995. "Recessions and Recoveries in Real Business Cycle Models," Economic Inquiry, Western Economic Association International, vol. 33(4), pages 640-63, October.
  14. Olivier J. Blanchard & Mark W. Watson, 1986. "Are Business Cycles All Alike?," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180 National Bureau of Economic Research, Inc.
  15. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-25, April-Jun.
  16. Bradley, Michael D & Jansen, Dennis W, 1997. "Nonlinear Business Cycle Dynamics: Cross-country Evidence on the Persistence of Aggregate Shocks," Economic Inquiry, Western Economic Association International, vol. 35(3), pages 495-509, July.
  17. Ana B. C. Galvão & Michael P. Clements, 2002. "Conditional mean functions of non-linear models of US output," Empirical Economics, Springer, vol. 27(4), pages 569-586.
  18. Luginbuhl, Rob & de Vos, Aart, 1999. "Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 456-65, October.
  19. D. A. Peel & A. E. H. Speight, 1998. "Threshold nonlinearities in output: some international evidence," Applied Economics, Taylor & Francis Journals, vol. 30(3), pages 323-333.
  20. Hess, Gregory D & Iwata, Shigeru, 1997. "Measuring and Comparing Business-Cycle Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 432-44, October.
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