Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry
Persistence of shocks to macroeconomic time series may differ depending on the sign or on whether a threshold value is crossed. For example, positive shocks to gross domestic product may be more persistent than negative shocks. Threshold (or asymmetric) moving average (TMA) models, by explicitly taking into account threshold behavior, can help discriminate whether there exists persistence asymmetry. Recently, building on the works of Wecker (1981, JASA, 76(373)) and De Gooijer (1998, JTSA, 19(1)) among others, Guay and Scaillet (2003, JBES, 21(1)) proposed TMA model in which both contemporaneous and lagged asymmetric effects are present and provided indirect inference framework for estimation and testing. This paper builds on their work and examines the properties of efficient method of moments (EMM) estimation of TMA class of models using Monte Carlo simulation experiments. The model is also applied to analyze the persistence properties of shocks in Turkish business cycles.
|Date of creation:||2011|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- M, El Babsiri & Jean-Michel Zakoïan, 1997.
"Contemporaneous Asymmetry in GARCH Processes,"
97-03, Centre de Recherche en Economie et Statistique.
- Gallant, A. Ronald & Tauchen, George, 1996.
"Which Moments to Match?,"
Cambridge University Press, vol. 12(04), pages 657-681, October.
- Kurt Brännäs & Jan G. de Gooijer, 2000.
"Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH,"
Tinbergen Institute Discussion Papers
00-049/4, Tinbergen Institute.
- Jan G. De Gooijer & Kurt Brännäs, 2004. "Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 155-171.
- Brännäs, Kurt & de Gooijer, Jan G., 2000. "ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH," Umeå Economic Studies 535, Umeå University, Department of Economics.
- Gonzalo, Jesus & Martinez, Oscar, 2006. "Large shocks vs. small shocks. (Or does size matter? May be so.)," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 311-347.
- Sichel, D.E., 1988.
"Business Cycle Asymmetry: A Deeper Look,"
85, Princeton, Department of Economics - Financial Research Center.
- Alexander Michaelides & Serena Ng, 2000.
"Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators,"
LSE Research Online Documents on Economics
198, London School of Economics and Political Science, LSE Library.
- Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
- Alexander Michaelides & Serena Ng, 1997. "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Boston College Working Papers in Economics 373, Boston College Department of Economics.
- Kurt Brännäs & Henry Ohlsson, 1999.
"Asymmetric Time Series and Temporal Aggregation,"
The Review of Economics and Statistics,
MIT Press, vol. 81(2), pages 341-344, May.
- Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
- Huseyin Tastan & Nuri Yildirim, 2008. "Business cycle asymmetries in Turkey: an application of Markov-switching autoregressions," International Economic Journal, Taylor & Francis Journals, vol. 22(3), pages 315-333.
- Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 197-205, February.
- Hess, Gregory D. & Iwata, Shigeru, 1997.
"Asymmetric persistence in GDP? A deeper look at depth,"
Journal of Monetary Economics,
Elsevier, vol. 40(3), pages 535-554, December.
- 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.
- Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:34302. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.