Asymmetries in the conditional mean dynamics of real GNP: Robust evidence

• 成果类型: Article
• 署名作者: Bidarkota, PV
• 署名单位: Kansas State University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465300558588
• 发表日期: 2000-02
• 页码: 153-157
• 关键词: economic time-series; business-cycle; fractional arima; models; persistence; innovations; parameter; BEHAVIOR; variance

摘要

We investigate asymmetries in the conditional mean dynamics of U.S. GNP. Because the statistical evidence on nonlinearities in the conditional mean could be influenced by the presence of outliers or by a failure to model conditional heteroskedasticity, we explicitly account for outliers by assuming that the innovations are drawn from the stable family, and model time-varying volatility by a GARCH(1, 1) process. We also allow for the possibility of long memory in the series with fractional differencing. Our results indicate statistically significant nonlinearities in the conditional mean that persist even after accounting for these features in the data.