Abstract

This paper aims at testing and modeling business-cycle asymmetries within a structural time-series framework, allowing for smooth transition in the parameters characterizing the cyclical component, namely, the damping factor and the frequency. An LM test of linearity is derived, and illustrations are provided with reference to a set of quarterly U.S. industrial production series for two-digit manufacturing industries.

Recommended Citation

Tommaso Proietti (1998) "Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models ", Studies in Nonlinear Dynamics & Econometrics: Vol. 3: No. 3, Article 2.
http://www.bepress.com/snde/vol3/iss3/art2

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proietti_datacode.zip (58 kB)
Data & Code