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Second-order moments of frequency asymmetric cycles

  • Miguel Artiach

    ()

    (Dpto. Fundamentos del Análisis Económico)

Second-order moments, as even functions in time, are conventionally regarded as containing no information about the time irreversible nature of a sequence and therefore about its frequency asymmetry. However, this paper shows that the frequency asymmetry produces a clearly distinct behaviour in second-order moments that can be observed in both the time domain and the frequency domain. In addition, a frequency domain method of estimation of the differing lengths of the recessionary and expansionary stages of a cycle is proposed and its finite sample performance evaluated. Finally, the asymmetric patterns in the waves of the US unemployment rate and in the sunspot index are analysed.

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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2011-27.pdf
File Function: Fisrt version / Primera version, 2011
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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 2011-27.

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Length: 56 pages
Date of creation: Dec 2011
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:2011-27
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  1. Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Banco de Espa�a Working Papers 0108, Banco de Espa�a.
  2. Rothman Philip A, 2008. "Reconsideration of the Markov Chain Evidence on Unemployment Rate Asymmetry," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-18, September.
  3. Ramsey, J.B. & Rothman, P., 1993. "Time Irreversibility and Business Cycle Asymmetry," Working Papers 93-39, C.V. Starr Center for Applied Economics, New York University.
  4. Neftci, Salih N, 1984. "Are Economic Time Series Asymmetric over the Business Cycle?," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 307-28, April.
  5. Falk, Barry, 1986. "Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 1096-1109, October.
  6. Melvin J. Hinich & Philip Rothman, . "A Frequency Domain Test of Time Reversibility," Working Papers 9706, East Carolina University, Department of Economics.
  7. Philip Rothman, . "Forecasting Asymmetric Unemployment Rates," Working Papers 9618, East Carolina University, Department of Economics.
  8. Amado Peiro, 2004. "Are business cycles asymmetric? Some European evidence," Applied Economics, Taylor & Francis Journals, vol. 36(4), pages 335-342.
  9. A. M. Walker, 2003. "A note on estimation by least squares for harmonic component models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 613-629, 09.
  10. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
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