Characterizing asymmetries in business cycles using smooth-transition structural time-series models

Authors
Proietti, T
Citation
T. Proietti, Characterizing asymmetries in business cycles using smooth-transition structural time-series models, STUD NONL D, 3(3), 1998, pp. 141-156
Citations number
24
Categorie Soggetti
Economics
Journal title
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
ISSN journal
10811826 → ACNP
Volume
3
Issue
3
Year of publication
1998
Pages
141 - 156
Database
ISI
SICI code
1081-1826(199810)3:3<141:CAIBCU>2.0.ZU;2-P
Abstract
This paper aims at testing and modeling business-cycle asymmetries within a structural time-series framework, allowing for smooth transition in the pa rameters characterizing the cyclical component, namely, the damping factor and the frequency. An LM test of linearity is derived, and illustrations ar e provided with reference to a set of quarterly U.S. industrial production series for two-digit manufacturing industries.