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Can non-linear time series models generate US business cycle asymmetric shape?

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  • Beatriz C. Galvao, Ana

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  • Beatriz C. Galvao, Ana, 2002. "Can non-linear time series models generate US business cycle asymmetric shape?," Economics Letters, Elsevier, vol. 77(2), pages 187-194, October.
    • Handle: RePEc:eee:ecolet:v:77:y:2002:i:2:p:187-194
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    2. Kim, Chang-Jin & Nelson, Charles R, 1999. "Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 317-334, August.
    3. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
    4. Sichel, Daniel E, 1993. "Business Cycle Asymmetry: A Deeper Look," Economic Inquiry, Western Economic Association International, vol. 31(2), pages 224-236, April.
    5. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-125, April-Jun.
    6. Balke, Nathan S & Wynne, Mark A, 1995. "Recessions and Recoveries in Real Business Cycle Models," Economic Inquiry, Western Economic Association International, vol. 33(4), pages 640-663, October.
    7. Ana B. C. Galvão & Michael P. Clements, 2002. "Conditional mean functions of non-linear models of US output," Empirical Economics, Springer, vol. 27(4), pages 569-586.
    8. Simkins, Scott P., 1994. "Do real business cycle models really exhibit business cycle behavior?," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 381-404, April.
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    10. McQueen, Grant & Thorley, Steven, 1993. "Asymmetric business cycle turning points," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 341-362, June.
    11. Robert E. McCulloch & Ruey S. Tsay, 1994. "Statistical Analysis Of Economic Time Series Via Markov Switching Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 523-539, September.
    12. Michael P. Clements & Hans-Martin Krolzig, 1998. "A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 47-75.
    13. Sichel, Daniel E, 1994. "Inventories and the Three Phases of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 269-277, July.
    14. Bradley, Michael D & Jansen, Dennis W, 1997. "Nonlinear Business Cycle Dynamics: Cross-country Evidence on the Persistence of Aggregate Shocks," Economic Inquiry, Western Economic Association International, vol. 35(3), pages 495-509, July.
    15. Elwood, S. Kirk, 1998. "Is the persistence of shocks to output asymmetric?," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 411-426, April.
    16. Hess, Gregory D & Iwata, Shigeru, 1997. "Measuring and Comparing Business-Cycle Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 432-444, October.
    17. Olivier J. Blanchard & Mark W. Watson, 1986. "Are Business Cycles All Alike?," NBER Chapters, in: The American Business Cycle: Continuity and Change, pages 123-180, National Bureau of Economic Research, Inc.
    18. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    19. Hess, Gregory D. & Iwata, Shigeru, 1997. "Asymmetric persistence in GDP? A deeper look at depth," Journal of Monetary Economics, Elsevier, vol. 40(3), pages 535-554, December.
    20. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-288, July.
    21. Dijk, Dick van & Franses, Philip Hans, 1999. "Modeling Multiple Regimes in the Business Cycle," Macroeconomic Dynamics, Cambridge University Press, vol. 3(3), pages 311-340, September.
    22. King, Robert G. & Plosser, Charles I., 1994. "Real business cycles and the test of the Adelmans," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 405-438, April.
    23. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
    24. D. A. Peel & A. E. H. Speight, 1998. "Threshold nonlinearities in output: some international evidence," Applied Economics, Taylor & Francis Journals, vol. 30(3), pages 323-333.
    25. Don Harding & Adrian Pagan, 1999. "Knowing the Cycle," Melbourne Institute Working Paper Series wp1999n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    26. Luginbuhl, Rob & de Vos, Aart, 1999. "Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 456-465, October.
    27. Pesaran, M. Hashem & Potter, Simon M., 1997. "A floor and ceiling model of US output," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 661-695, May.
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    Cited by:

    1. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    2. Gabriel Rodríguez, 2010. "Application of Three Non-Linear Econometric Approaches to Identify Business Cycles in Peru," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-25.
    3. Morley James & Piger Jeremy & Tien Pao-Lin, 2013. "Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 483-498, December.
    4. Kiani, Khurshid M., 2016. "On business cycle fluctuations in USA macroeconomic time series," Economic Modelling, Elsevier, vol. 53(C), pages 179-186.
    5. Artur Silva Lopes & Gabriel Florin Zsurkis, 2019. "Are linear models really unuseful to describe business cycle data?," Applied Economics, Taylor & Francis Journals, vol. 51(22), pages 2355-2376, May.
    6. Juergen Bierbaumer-Polly, 2012. "Regional and Sectoral Business Cycles - Key Features for the Austrian economy," EcoMod2012 4074, EcoMod.
    7. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278.
    8. Rodriguez Gabriel, 2007. "Application of Three Alternative Approaches to Identify Business Cycles in Peru," Working Papers 2007-007, Banco Central de Reserva del Perú.
    9. Oller, Lars-Erik, 2003. "Nonlinear Econometric Modeling in Time Series: Proceedings of the Eleventh International Symposium in Economic Theory,: Edited by W.A. Barnett, D.F. Hendry, S. Hylleberg, T. Terasvirta, D. Tjostheim, ," International Journal of Forecasting, Elsevier, vol. 19(4), pages 756-758.
    10. Giordani, Paolo & Kohn, Robert & van Dijk, Dick, 2007. "A unified approach to nonlinearity, structural change, and outliers," Journal of Econometrics, Elsevier, vol. 137(1), pages 112-133, March.
    11. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
    12. James Morley & Jeremy Piger, 2006. "The Importance of Nonlinearity in Reproducing Business Cycle Features," Contributions to Economic Analysis, in: Nonlinear Time Series Analysis of Business Cycles, pages 75-95, Emerald Group Publishing Limited.
    13. Dahl Christian M. & Gonzalez-Rivera Gloria, 2003. "Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(1), pages 1-35, April.
    14. João Paulo Martin Faleiros & Denisard Cnéio de Oliveira Alves, 2006. "Não Linearidade Nos Ciclos De Negócios: Modelo Auto-Regressivo “Smooth Transition” Para O Índice Geral De Produção Industrial Brasileiro E Bens De Capital," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 10, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    15. James Morley & Jeremy Piger & Pao-Lin Tien, 2009. "Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?," Wesleyan Economics Working Papers 2009-003, Wesleyan University, Department of Economics.
    16. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
    17. David N. DeJong & Hariharan Dharmarajan & Roman Liesenfeld & Jean-Francois Richard, 2008. "Exploiting Non-Linearities in GDP Growth for Forecasting and Anticipating Regime Changes," Working Paper 367, Department of Economics, University of Pittsburgh, revised Sep 2008.

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