Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept

Malte Knüppel

No 2004,41, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

Abstract: In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of skewness of first-order autoregressive processes with a Markov-switching intercept and the coefficient of skewness of the first differences of these processes. For the special case of two states, we present the parameter restrictions leading to non-deepness and non-steepness. We show that these restrictions imply that the conclusions of Clements & Krolzig (2003) with respect to asymmetries of processes with a Markov-switching intercept are not correct. Finally, we apply the results to U.S. GDP which is found to exhibit strongly significant deepness and steepness.

Keywords: asymmetry; deepness; steepness; Markov-switching; business cycles (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Testing Business Cycle Asymmetries Based on Autoregressions With a Markov-Switching Intercept (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:2919

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