The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Are Economic Time Series Asymmetric over the Business Cycle?
Abstract
It has long been argued that major cyclical variables such as the unemployment rate display an asymmetric behavior over various phases of the business cycle. The paper provides a statistical test for this hypothesis. Using the framework of finite state Markov processes I implement a test to see if the behavior of the unemployment rate is characterized by sudden jumps and slower drops. It is argued that the framework provided in the paper can also be used to test other sample path properties of economic time series.
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Citations
Cites
The general theory of employment
Keynes, J. M. (1937) · The Quarterly Journal of Economics · doi:10.2307/1882087 · Cited by 5,173
Estimation of Dynamic Labor Demand Schedules under Rational Expectations
Sargent, T. J. (1978) · Journal of Political Economy · doi:10.1086/260726 · Cited by 604
Statistical Inference for Markov Processes
Pyke, R. (1963) · Technometrics · doi:10.1080/00401706.1963.10490116 · Cited by 560
Hannan, E. (1974) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1974.1100732 · Cited by 207
Cited by
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014) · Festschrift in Honor of Peter Schmidt · doi:10.1007/978-1-4899-8008-3_9 · Cited by 3,835
Dynamic linear models with Markov-switching
Kim, C.-J. (1994) · Journal of Econometrics · doi:10.1016/0304-4076(94)90036-1 · Cited by 1,434
Threshold Autoregression with a Unit Root
Caner, M., & Hansen, B. E. (2001) · Econometrica · doi:10.1111/1468-0262.00257 · Cited by 707
Cyclical Unemployment: Sectoral Shifts or Aggregate Disturbances?
Abraham, K. G., & Katz, L. F. (1986) · Journal of Political Economy · doi:10.1086/261387 · Cited by 536
Metadata
- Authors
- Neftçi, S. N.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1984-04
- Volume
- 92
- Issue
- 2
- Pages
- 307-328
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2155083623
- Cited by
- 929
- References
- 4
- FWCI
- 20.89
- Type
- journal article
- Language
- en
- Open access
- closed
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- Neftçi, S. N. (1984). Are Economic Time Series Asymmetric over the Business Cycle? Journal of Political Economy. https://doi.org/10.1086/261226
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
