Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models

This paper aims at testing and modeling business-cycle asymmetries within a structural time-series framework, allowing for smooth transition in the parameters characterizing the cyclical component, namely, the damping factor and the frequency. An LM test of linearity is derived, and illustrations are provided with reference to a set of quarterly U.S. industrial production series for two-digit manufacturing industries.

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Year of publication:	1998
Authors:	Proietti, Tommaso
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 3.1998, 3, p. 141-156
Publisher:	Berkeley Electronic Press
Subject:	nonlinearity \| business cycles \| asymmetry \| LM test

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005046513