Asymmetric persistence in GDP? A deeper look at depth

• 成果类型: Article
• 署名作者: Hess, GD; Iwata, S
• 署名单位: University of Cambridge; University of Kansas
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00057-3
• 发表日期: 1997
• 页码: 535-554
• 关键词: business cycle asymmetries; non-standard distributions; random walk

摘要

If an economic time series behaves asymmetrically, then an interpretation of economic fluctuations based on linear time-series models could be misleading. Beaudry and Koop (1993) recently argued that for post-war US GDP data there exists a statistically significant difference in persistence between negative and positive shocks. We demonstrate that their test has two pitfalls: First, the t-statistic for testing asymmetry in persistence does not have a conventional interpretation. Second, a highly significant I-value may come from sources different from asymmetry. Using international data, we investigate for the presence of asymmetric persistence across the G-7 countries. (C) 1997 Elsevier Science B.V. All rights reserved.