Testing Linearity of Economic Time Series against Cyclical Asymmetry

Richard J. Smith and Timo Terasvirta

Annals of Economics and Statistics, 1991, issue 20-21, 125-142

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 nonsymmetric 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 macroeconomic time series are nonlinear and may be asymmetric

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1991:i:20-21:p:125-142

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