Testing Linearity of Economic Time Series against Cyclical Asymmetry

Ritva A. Luukkonen · Timo Teräsvirta Y

29 citations0/0 files storedAnnals of Economics and Statistics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Economic Theory and Policy Unemployment and Economic Growth

Abstract

In this paper we study the possible asymmetry of business cycles using time series techniques. The hypothesis of linearity is tested against various forms of nonlinearity, some of which are capable of representing processes generating nonsym metric cycles. Quarterly unemployment and industrial production series are used as business cycle indicators, and the data consists of 13 OECD countries. The test results indicate that many macroe conomic time series are nonlinear and may be asymmetric.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 29 citations exist upstream.

References

1936The General Theory of Employment, Interest and Money.1936The General Theory of Employment, Interest and Money, by John Maynard Keynes 1996A test for independence based on the correlation dimension 1988Testing Linearity Against Smooth Transition Autoregressive Models 1984Are Economic Time Series Asymmetric over the Business Cycle?1986Further Evidence on the Asymmetric Behavior of Economic Time Series over the Business Cycle 1913Business Cycles: The Problem and Its Setting 1991Further evidence on the asymmetric behavior of unemployment rates over the business cycle

Cited by

2002Can oil shocks explain asymmetries in the US Business Cycle?1998Modelling Business Cycle Nonlinearity in Conditional Mean and Conditional Variance: Some International and Sectoral Evidence 2012The European Way Out of Recession 1994Detecting and modelling nonlinearity in flexible exchange rate time series

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.