Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series

This paper examines conditional and unconditional asymmetries in the Nelson and Plosser dataset by using two tests recently proposed by Jushan Bai and Serena Ng. In line with previous research, the results show that asymmetry is not a proper characterization of most macroeconomic series, although labor variables like employment and the unemployment rate present unconditional asymmetries.

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Year of publication:	2003
Authors:	Belaire-Franch, Jorge ; Peiro, Amado
Published in:	Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 7.2003, 1
Publisher:	De Gruyter

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1558-3708.1108 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014620869