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Modelling Cyclical Asymmetry in a Production Series Using Threshold Autoregressive Models

  • Horst Kräger
Part of the Studies in Empirical Economics book series (STUDEMP)

Abstract

The thought of asymmetric behaviour in business cycles is old. Keynes (1936) writes. . . ‘the fact that the substitution of a downward for an upward tendency often takes place suddenly and violently, whereas there is, as a rule, no such sharp turning-point when an upward is substituted for a downward tendency’. To describe such data generating mechanisms of asymmetric cyclical processes we need nonlinear models because linear models, like ARIMA models, can only generate symmetric cycles, i.e. forecasts from linear models must be inferior to those from nonlinear models if there are nonlinearities in the time series. This means that the linear business cycle theory has to be given up as inadequate if time series used to describe business cycles are inherently nonlinear. A description of some nonlinear theoretical models can be found in Gabisch and Lorenz (1987)

Keywords

Business Cycle Yearly Growth Rate ARIMA Model Economic Time Series Macroeconomic Time Series 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1994

Authors and Affiliations

  • Horst Kräger
    • 1
  1. 1.Universität MannheimGermany

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