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Modelling Cyclical Asymmetry in a Production Series Using Threshold Autoregressive Models

Published online by Cambridge University Press:  17 August 2016

Horst Kräger
Horst Kräger*
Affiliation:
Universität Mannheim
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Summary

In recent years there is evidence in the literature that various time series like GNP or production may be nonlinear. In this paper the question is examined whether there are non-linearities in the net production index for the producing sector of the FRG. Three different non-linearity tests are applied on the stationary series and two exhibit clear nonlinearities. Therefore a SETAR-model was estimated and it was able to capture all the previous inherent non-linearities.

Résumé

Résumé

Ces dernières années ont vu apparaître dans la littérature de nombreuses preuves de la non-linéarité des séries temporelles telles que celles du PNB ou de la production. Dans cet article, nous cherchons à savoir s'il existe des non-linéarités dans l'indice de la production nette du secteur productif de la RFA. On applique 3 tests différents de non-linéarité sur les séries stationnaires et deux de celles-ci s'avèrent clairement non-linéaires. Un recours à l'estimation d'un modèle SETAR, permet de saisir différemment ces non-linéairités détectées à l'étape précédente.

Keywords

C22E32C22E32
Type
Part IV: Time Series Analysis of Output and Employment
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 58 , Issue 3-4: Output and Employment Fluctuations , 1992 , pp. 473 - 486
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1992 

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Footnotes

(*)

Helpful comments of three anonymous referees are gratefully acknowledged.

References

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