Testing for Business Cycle Asymmetries Based on Autoregressions with a Markov-Switching Intercept

In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of skewness of first-order autoregressive processes with a Markov-switching intercept and the coefficient of skewness of the first differences of these processes. For the special case of two states, we present the parameter restrictions leading

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Year of publication:	2016
Authors:	Knüppel, Malte
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Konjunktur \| Business cycle \| Zeitreihenanalyse \| Time series analysis \| Statistischer Test \| Statistical test \| Theorie \| Theory

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