Second-order moments of frequency asymmetric cycles
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.
|Date of creation:||Dec 2011|
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- Hinich , Melvin J. & Rothman, Philip, 1998.
"Frequency-Domain Test Of Time Reversibility,"
Cambridge University Press, vol. 2(01), pages 72-88, March.
- Melvin J. Hinich & Philip Rothman, "undated". "A Frequency Domain Test of Time Reversibility," Working Papers 9706, East Carolina University, Department of Economics.
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- 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.
- Ramsey, James B & Rothman, Philip, 1996. "Time Irreversibility and Business Cycle Asymmetry," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 1-21, February.
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- 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 307-328, April.
- Philip Rothman, 1998. "Forecasting Asymmetric Unemployment Rates," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 164-168, February.
- Philip Rothman, "undated". "Forecasting Asymmetric Unemployment Rates," Working Papers 9618, East Carolina University, Department of Economics.
- Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Working Papers 0108, Banco de España;Working Papers Homepage.
- Amado Peiro, 2004. "Are business cycles asymmetric? Some European evidence," Applied Economics, Taylor & Francis Journals, vol. 36(4), pages 335-342. Full references (including those not matched with items on IDEAS)
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