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Asymmetries in Macroeconomic Time Series in Eleven Asian Economies

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  • Khurshid M. Kiani

    (Department of Economics, University of Nottingham, Ningbo, China)

Abstract

We investigate business cycle asymmetries in the real GDP of eleven selected Asian economies using nonlinear switching time series models and artificial neural networks. Results based on neural network linearity tests show evidence of business cycle asymmetries in all series. Results based on switching and augmented time series models also reveal business cycle asymmetries in most series studied.

Suggested Citation

  • Khurshid M. Kiani, 2009. "Asymmetries in Macroeconomic Time Series in Eleven Asian Economies," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 8(1), pages 37-54, April.
  • Handle: RePEc:ijb:journl:v:8:y:2009:i:1:p:37-54
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. repec:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9628-6 is not listed on IDEAS
    2. Khurshid Kiani, 2011. "Fluctuations in Economic and Activity and Stabilization Policies in the CIS," Computational Economics, Springer;Society for Computational Economics, vol. 37(2), pages 193-220, February.

    More about this item

    Keywords

    real GDP growth rates; fat tails; stable distributions; neural networks; out-of-sample forecasts; long memory; nonlinearities; business cycles;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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