The detection of nonlinearities could depend on the sampling frequency. Asy
mmetric monthly series may become symmetric when aggregated to quarterly or
annual frequencies. We test against nonlinearity using the nonlinear autor
egressive asymmetric moving average (ARasMA) model, which nests the linear
ARMA model as a special case. Using monthly, quarterly, and annual Swedish
unemployment series, we find support for symmetry/linearity in the annual s
eries but not in the monthly and quarterly series.