Is the persistence of shocks to output asymmetric?

Journal of Monetary Economics

Volumn 41, Issue 2, 1998, Pages 411-426

  Kirk Elwood, S ^a  

^a JAMES MADISON UNIVERSITY   (United States)

Author keywords

Asymmetries; E32; Persistence; Threshold model; Unobserved components model

Indexed keywords

EID: 0000632354     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-3932(97)00076-7     Document Type: Article

References (14)

1. Beaudry, P., Koop, G., 1993. recessions permanently change output? Journal of Monetary Economics 31, 149-163.
2. Campbell, J.Y., Mankiw, G.N., 1987. Are output fluctuations transitory? Quarterly Journal of Economics 102, 857-880.
3. Cochrane, J.H., 1988. How big is the random walk in GNP? Journal of Political Economy 96, 893-920.
4. Diebold F.X., Nerlove M. The dynamics of exchange rate volatility: a multivariate latent factor ARCH model. Journal of Applied Econometrics. 4:1989;1-21.
5. Elwood, S.K., 1997. Estimating threshold behavior when the indicator variable is unobserved: a state-space approach. Working paper, James Madison University.
6. Falk B. Further evidence on the asymmetric behavior of economic time series over the business cycle. Journal of Political Economy. 94:1986;1096-1109.
7. Hamilton J.D. A new approach to the econometric analysis of non-stationary time series and the business cycle. Econometrica. 57:1989;357-384.
8. Harvey A.C. Forecasting, Structural Time Series Models and the Kalman Filter. 1989;Cambridge University Press, Cambridge.
9. Harvey A.C., Ruiz E., Sentana E. Unobserved component time series models with ARCH disturbances. Journal of Econometrics. 92:1992;129-157.
10. Kim C.J. Unobserved component time series models with Markov-switching heteroscedasticity: changes in regime and the link between inflation rates and inflation uncertainty. Journal of Business and Economic Statistics. 11(3):1993;341-349.
11. Neftci, S.N., Are economic time series asymmetric over the business cycle? Journal of Political Economy 92, 307-328.
12. Nelson C.R., Plosser C.I. Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics. 10:1982;139-162.
13. Tong H. Threshold Models in Nonlinear Time Series Analysis. 1983;Springer, New York.
14. Wecker W.E. Asymmetric time series. Journal of the American Statistical Association. 76:1981;16-21.