Asymmetries in Macroeconomic Time Series in Eleven Asian Economies

Khurshid Kiani

International Journal of Business and Economics, 2009, vol. 8, issue 1, 37-54

Abstract: We investigate business cycle asymmetries in the real GDP of eleven selected Asian economies using nonlinear switching time series models and artificial neural networks. Results based on neural network linearity tests show evidence of business cycle asymmetries in all series. Results based on switching and augmented time series models also reveal business cycle asymmetries in most series studied.

Keywords: real GDP growth rates; fat tails; stable distributions; neural networks; out-of-sample forecasts; long memory; nonlinearities; business cycles (search for similar items in EconPapers)
JEL-codes: C22 C32 C45 C53 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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