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Another Look at Swedish Business Cycles, 1861-1988

Joakim Skalin and Timo Teräsvirta ()

Journal of Applied Econometrics, 1999, vol. 14, issue 4, 359-78

Abstract: The linearity of nine long Swedish macroeconomic time series, whose business cycle properties were discussed by Englund, Persson, and Svensson (1992), is tested and rejected for all but two. Non-linear (STAR) models are estimated, and their properties are investigated. Business cycle frequency variation does not seem to be constant over time for all series; it is difficult to find a 'Swedish business cycle'. Pairwise Granger non-causality tests are adapted to the STAR case, and non-causality is tested. The results point at strong temporal interactions and indicate that the functional form (linear or STAR) strongly affects the outcome of these tests.

Date: 1999
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http://qed.econ.queensu.ca:80/jae/1999-v14.4/ Supporting data files and programs (text/html)

Related works:
Working Paper: Another Look at Swedish Business Cycles, 1861-1988 (1996) Downloads
Working Paper: Another Look at Swedish Business Cycles, 1861-1988 (1996)
Software Item: RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests Downloads
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