Testing Business Cycle Asymmetries Based on Autoregressions With a Markov-Switching Intercept
نویسندگان
چکیده
منابع مشابه
Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions
We propose testing for business cycle first-moment asymmetries in Markov-switching autoregressive (MS-AR) models. We derive the parametric restrictions on MS-AR models that rule out types of asymmetries such as deepness, steepness, and sharpness, and set out a testing procedure based on Wald statistics which have standard asymptotics. For a two-regime model, such as that popularised by Hamilton...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2009
ISSN: 0735-0015,1537-2707
DOI: 10.1198/jbes.2009.06117