Modelling Cyclical Asymmetry in A Production Series Using Treshold Autoregressive Models

Horst Kräger
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Horst Kräger: Universität Mannheim

No 1992046, Discussion Papers (REL - Recherches Economiques de Louvain) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: In recent years there is evidence in the literature that various time series like GNP or production may be nonlinear. In this paper the question is examined whether there are non-linearities in the net production index for the producing sector of the FRG. Three different non-linearity tests are applied on the stationary series and two exhibit clear nonlinearities. Therefore a SETAR-model was estimated and it was able to capture all the previous inherent non-linearities.

JEL-codes: C22 E32 (search for similar items in EconPapers)
Pages: 13
Date: 1992-09-01
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvre:1992046

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