Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions
Michael Clements and
Hans-Martin Krolzig ()
Journal of Business & Economic Statistics, 2003, vol. 21, issue 1, 196-211
Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The tests of deepness, steepness, and sharpness are Wald statistics, which have standard asymptotics. For the standard two-regime model of expansions and contractions, deepness is shown to imply sharpness (and vice versa), whereas the process is always nonsteep. Two and three-state models of U.S. GNP growth are used to illustrate the approach, along with models of U.S. investment and consumption growth. The robustness of the tests to model misspecification, and the effects of regime-dependent heteroscedasticity, are investigated.
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Working Paper: Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression (1999)
Working Paper: Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:21:y:2003:i:1:p:196-211
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